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arXiv · 1902.10318

Estimation of Dynamic Panel Threshold Model using Stata

Myung Hwan Seo·Sueyoul Kim·Young-Joo Kim
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Abstract

We develop a Stata command xthenreg to implement the first-differenced GMM estimation of the dynamic panel threshold model, which Seo and Shin (2016, Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive the asymptotic variance formula for a kink constrained GMM estimator of the dynamic threshold model and include an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. The use of the command is illustrated through a Monte Carlo simulation and an economic application.

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Myung Hwan Seo, Sueyoul Kim, Young-Joo Kim. 2019-02-27. Estimation of Dynamic Panel Threshold Model using Stata. https://doi.org/10.1177/1536867x19874243

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