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Threshold Regression with Endogeneity for Short Panels

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Date

2019-05-22

Authors

Gorgens, Jakob (Tue)
Wurtz, Allan

Journal Title

Journal ISSN

Volume Title

Publisher

MDPI Publication

Abstract

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated nonparametrically at the N-rate and the remaining parameters are estimated by GMM at the N−−√ -rate. We provide simulation results that illustrate advantages of the new method in comparison with pure GMM estimation. The simulations also highlight the importance of the choice of instruments in GMM estimation.

Description

Keywords

threshold regression, dynamic models, endogeneity, panel data, GMM estimation, integrated difference kernel IDK estimator, superconsistency

Citation

URI

http://hdl.handle.net/1885/237923

Collections

ANU Research Publications

Source

Econometrics

Type

Journal article

Book Title

Entity type

Access Statement

Open Access

License Rights

Creative Commons Attribution (CC BY) license

DOI

10.3390/econometrics7020023

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econometrics-07-00023.pdf (241.62 KB)

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