Estimation of dynamic panel threshold model using Stata
- Authors
- Seo, Myung Hwan; Kim, Sueyoul; Kim, Young-Joo
- Issue Date
- Sep-2019
- Publisher
- SAGE PUBLICATIONS INC
- Keywords
- st0573; xthenreg; dynamic panel threshold model
- Citation
- STATA JOURNAL, v.19, no.3, pp.685 - 697
- Journal Title
- STATA JOURNAL
- Volume
- 19
- Number
- 3
- Start Page
- 685
- End Page
- 697
- URI
- https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/1153
- DOI
- 10.1177/1536867X19874243
- ISSN
- 1536-867X
- Abstract
- 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 kink-constrained 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.
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Collections - School of Economics > Economics Major > 1. Journal Articles
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