Estimation of dynamic panel threshold model using Stata

• Autores: Myung Hwan Seo, Sueyoul Kim, Young-Joo Kim
• Localización: The Stata journal, ISSN 1536-867X, Vol. 19, Nº. 3, 2019, págs. 685-697
• Idioma: inglés
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• Resumen

  • In this article, we develop a command, xthenreg, that implements the first-differenced generalized method of moments estimation of the dynamic panel threshold model that Seo and Shin (2016, Journal of Econometrics 195: 169–186) proposed. Furthermore, we derive the asymptotic variance formula for a kinkconstrained generalized method of moments estimator of the dynamic threshold model and provide an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. We illustrate the use of xthenreg through a Monte Carlo simulation and an economic application.