Estimation of dynamic panel threshold model using Stata
DC Field | Value | Language |
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dc.contributor.author | Seo, Myung Hwan | - |
dc.contributor.author | Kim, Sueyoul | - |
dc.contributor.author | Kim, Young-Joo | - |
dc.date.available | 2020-07-10T02:40:52Z | - |
dc.date.created | 2020-07-06 | - |
dc.date.issued | 2019-09 | - |
dc.identifier.issn | 1536-867X | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/1153 | - |
dc.description.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. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | SAGE PUBLICATIONS INC | - |
dc.title | Estimation of dynamic panel threshold model using Stata | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Young-Joo | - |
dc.identifier.doi | 10.1177/1536867X19874243 | - |
dc.identifier.scopusid | 2-s2.0-85073245511 | - |
dc.identifier.wosid | 000487293300012 | - |
dc.identifier.bibliographicCitation | STATA JOURNAL, v.19, no.3, pp.685 - 697 | - |
dc.relation.isPartOf | STATA JOURNAL | - |
dc.citation.title | STATA JOURNAL | - |
dc.citation.volume | 19 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 685 | - |
dc.citation.endPage | 697 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | REGRESSION | - |
dc.subject.keywordAuthor | st0573 | - |
dc.subject.keywordAuthor | xthenreg | - |
dc.subject.keywordAuthor | dynamic panel threshold model | - |
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