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Estimation of dynamic panel threshold model using Stata

Author

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  • Myung Hwan Seo

    (Seoul National University)

  • Sueyoul Kim

    (University of Maryland)

  • Young-Joo Kim

    (Hongik University)

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.

Suggested Citation

  • Myung Hwan Seo & Sueyoul Kim & Young-Joo Kim, 2019. "Estimation of dynamic panel threshold model using Stata," Stata Journal, StataCorp LP, vol. 19(3), pages 685-697, September.
    • Handle: RePEc:tsj:stataj:v:19:y:2019:i:3:p:685-697
    DOI: 10.1177/1536867X19874243
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    1. Adam, Christopher S. & Bevan, David L., 2005. "Fiscal deficits and growth in developing countries," Journal of Public Economics, Elsevier, vol. 89(4), pages 571-597, April.
    2. Zhang, Yonghui & Zhou, Qiankun & Jiang, Li, 2017. "Panel kink regression with an unknown threshold," Economics Letters, Elsevier, vol. 157(C), pages 116-121.
    3. Giacomini, Raffaella & Politis, Dimitris N. & White, Halbert, 2013. "A Warp-Speed Method For Conducting Monte Carlo Experiments Involving Bootstrap Estimators," Econometric Theory, Cambridge University Press, vol. 29(3), pages 567-589, June.
    4. Seo, Myung Hwan & Shin, Yongcheol, 2016. "Dynamic panels with threshold effect and endogeneity," Journal of Econometrics, Elsevier, vol. 195(2), pages 169-186.
    5. Qunyong Wang, 2015. "Fixed-effect panel threshold model using Stata," Stata Journal, StataCorp LP, vol. 15(1), pages 121-134, March.
    6. Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019. "Robust inference for threshold regression models," Journal of Econometrics, Elsevier, vol. 210(2), pages 291-309.
    7. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
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    Keywords

    xthenreg; dynamic panel threshold model;

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