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XTENDOTHRESDPD: Stata module to estimate a Dynamic Panel Data Threshold Effects Model with Endogenous Regressors

Author

Listed:
  • Diallo Ibrahima Amadou

    (CERDI, University of Clermont Auvergne)

Programming Language

Stata

Abstract

xtendothresdpd performs estimations of a dynamic panel data threshold effects model with endogenous regressors. If we have a panel data model which is dynamic, meaning that we have the dependent variable and its lagged value in the model. If, in this model, we also have a threshold effect and the regressors are endogenous, then we can use the command xtendothresdpd to estimate both the threshold effect and the slope coefficients. In this command, the threshold is determined endogenously. That is, if there is a threshold, the command finds it by using the information given by the data. The theory behind the command xtendothresdpd is provided by Kremer, Bick and Nautz (Empirical Economics, 2013).

Suggested Citation

  • Diallo Ibrahima Amadou, 2020. "XTENDOTHRESDPD: Stata module to estimate a Dynamic Panel Data Threshold Effects Model with Endogenous Regressors," Statistical Software Components S458745, Boston College Department of Economics, revised 18 Apr 2020.
    • Handle: RePEc:boc:bocode:s458745
    Note: This module should be installed from within Stata by typing "ssc install xtendothresdpd". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtendothresdpd.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtendothresdpdboot.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtendothresdpdtest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtendothresdpd.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtendothresdpdconv.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtendothresdpd_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_gxtendothresdpdfod.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_gxtendothresdpdfmoy.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtendothresdpddata.dta
    File Function: sample data file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Sy-Hoa Ho & Jamel Saadaoui, 2020. "Bank credit and short-run economic growth : a dynamic threshold panel model for ASEAN countries," Working Papers hal-03008069, HAL.
    2. Ho, Sy-Hoa & Saadaoui, Jamel, 2022. "Bank credit and economic growth: A dynamic threshold panel model for ASEAN countries," International Economics, Elsevier, vol. 170(C), pages 115-128.

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