Estimation of nonlinear dynamic panel data models with individual effects article pdf available in mathematical problems in engineering 20142. Does threshold effects on a fixed effects estimator in panel data. Journal of econometrics 93 1999 345368 threshold e. Estimation, testing and inference journal of econometrics 1999 the to this article is held by the the journal of econometrics. Hansen1 department of economics, university of wisconsin, social science building, 1180 observatory drive. This abstract was borrowed from another version of this item. We extend hansens hansen, 1999 original setup to models including endogenous regressors, specifically, lagged dependent variables. A dynamic fixed effects model for heterogeneous panel data. Sorry, we are unable to provide the full text but you may find it at the following locations. Threshold regression methods are developed for nondynamic panels with individualspecific fixed effects.
We develop a stata command xthenreg to implement the firstdifferenced gmm estimation of the dynamic panel threshold model, which seo and shin 2016, journal of econometrics 195. Download pdf file 202 kb link to programs and data. Replication file from bruce hansen1999, threshold effects in non dynamic panels. Rats procedure to analyze up to two threshold breaks in a fixed effects panel model software item. Least squares estimation of the threshold and regression slopes is proposed using fixed. Maximum likelihood estimation of fixed effects dynamic panel data models covering short time.
This paper suggests a generalized method of moments gmm based estimation for dynamic panel data models with individual specific fixed effects and threshold effects simultaneously. Pdf threshold effects of inflation on economic growth. To address the problem of endogeneity of these nonlinear dynamic panel. No 365, boston college working papers in economics from boston college department of economics abstract. To overcome this shortcoming, in the next section we propose a simple estimator for g which requires only one nonparametric estimation procedure. In the full sample of 8 countries over the period 19502000, we nd that there is one. Threshold effects of inflation on growth in the asean5. Estimation, testing and inference 1997 software item. Threshold regression methods are developed for nondynamic panels with individual specic xed e. A nonstandard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of. Furthermore, we derive the asymptotic variance formula for a kinkconstrained generalized method of moments estimator of the dynamic threshold.
The dynamic panel bias denition ar1 panel data model consider the simple ar1 model y it. Inference in tar models, studies in nonlinear dynamics and econometrics, 1997, 2. Pdf estimation of nonlinear dynamic panel data models. Concisely, this study has extended the nondynamic panel threshold of hansen 1999, cross sectional threshold model of hansen 2000 and caner and hansen 2004 by adopting the dynamic panel. Inflations effects on an economy are various and can be simultaneously positive and negative. Least squares estimation of the threshold and regression slopes is proposed using fixedeffects transformations. Mfr model after hsiao 1989 who originally developed the estimation algorithm for a combination of fixed and random coefficients in a nondynamic, nonfixedeffects panel data model of regional electricity demand. Estimation, testing and inference, journal of econometrics, 1999, 93, 345368. Under similar conditions, ullah and roy 1998 consider kernel estimation for panels when both nand tare large. Tests for threshold effects are computed using the simulated.
Least squares estimation of the threshold and regression slopes is proposed using. Absolutely no downloading or copying may be done for, or on behalf of, any for profit commercial firm or other commercial purpose. Estimation of nonlinear dynamic panel data models with. Estimation, testing and inference journal of econometrics 1999 program and data files this program replicates the empirical work reported in the above paper. Formulation and estimation of dynamic models using panel data, journal of econometrics, 18, 47. Furthermore, we derive the asymptotic variance formula for a kink constrained gmm estimator of the dynamic threshold model and include an estimation algorithm. Estimation of dynamic panel threshold model using stata. Title threshold model and unit root tests in crosssection and time.
Bruce hansen no 365, boston college working papers in economics from boston college department of economics. Threshold e ects in the relationship between in ation and. A nonstandard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. D intensity on enterprise performance from the perspective of scientific research achievements transformation ability authors. Linear non dynamic panel data models 201415 panel data models pooled model individual and time dummies 2 i xit does not include an intercept i if an intercept is included then one of the n individual dummies must be dropped i many packages prefer to do that i focus on short panels where n. It estimates a static balanced panel threshold model with fixed effects. To address the problem of endogeneity of these nonlinear dynamic panel data. In this article, we develop a command, xthenreg, that implements the firstdifferenced generalized method of moments estimation of the dynamic panel threshold model that seo and shin 2016, journal of econometrics 195. Least squares estimation of the threshold and regression slopes is proposed using fixed effects transformations.