Department of Economics and Business Economics

Panel Smooth Transition Regression Models

Research output: ResearchWorking paper

Standard

Panel Smooth Transition Regression Models. / González, Andrés; Terasvirta, Timo; Dijk, Dick van; Yang, Yukai.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

Research output: ResearchWorking paper

Harvard

González, A, Terasvirta, T, Dijk, DV & Yang, Y 2017 'Panel Smooth Transition Regression Models' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

González, A., Terasvirta, T., Dijk, D. V., & Yang, Y. (2017). Panel Smooth Transition Regression Models. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2017-36

CBE

González A, Terasvirta T, Dijk DV, Yang Y. 2017. Panel Smooth Transition Regression Models. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

González, Andrés et al. Panel Smooth Transition Regression Models. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2017-36). 2017., 47 p.

Vancouver

González A, Terasvirta T, Dijk DV, Yang Y. Panel Smooth Transition Regression Models. Aarhus: Institut for Økonomi, Aarhus Universitet. 2017 Oct 19.

Author

González, Andrés ; Terasvirta, Timo ; Dijk, Dick van ; Yang, Yukai. / Panel Smooth Transition Regression Models. Aarhus : Institut for Økonomi, Aarhus Universitet, 2017. (CREATES Research Papers; No. 2017-36).

Bibtex

@techreport{5c859e6a34634e89a797d6544f7d0162,
title = "Panel Smooth Transition Regression Models",
abstract = "We introduce the panel smooth transition regression model. This new model is intended for characterizing heterogeneous panels, allowing the regression coefficients to vary both across individuals and over time. Specifically, heterogeneity is allowed for by assuming that these coefficients are bounded continuous functions of an observable variable and fluctuate between a limited number of {"}extreme regimes{"}. The model can be viewed as a generalization of the threshold panel model of Hansen (1999). We extend the modelling strategy originally designed for univariate smooth transition regression models to the panel context. The strategy consists of model specification based on homogeneity tests, parameter estimation, and model evaluation, including tests of parameter constancy and no remaining heterogeneity. The model is applied to describing firms' investment decisions in the presence of capital market imperfections.",
keywords = "financial constraints, heterogeneous panel, investment, misspecification test, nonlinear modelling of panel data, smooth transition model",
author = "Andrés González and Timo Terasvirta and Dijk, {Dick van} and Yukai Yang",
year = "2017",
month = "10",
publisher = "Institut for Økonomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for Økonomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Panel Smooth Transition Regression Models

AU - González,Andrés

AU - Terasvirta,Timo

AU - Dijk,Dick van

AU - Yang,Yukai

PY - 2017/10/19

Y1 - 2017/10/19

N2 - We introduce the panel smooth transition regression model. This new model is intended for characterizing heterogeneous panels, allowing the regression coefficients to vary both across individuals and over time. Specifically, heterogeneity is allowed for by assuming that these coefficients are bounded continuous functions of an observable variable and fluctuate between a limited number of "extreme regimes". The model can be viewed as a generalization of the threshold panel model of Hansen (1999). We extend the modelling strategy originally designed for univariate smooth transition regression models to the panel context. The strategy consists of model specification based on homogeneity tests, parameter estimation, and model evaluation, including tests of parameter constancy and no remaining heterogeneity. The model is applied to describing firms' investment decisions in the presence of capital market imperfections.

AB - We introduce the panel smooth transition regression model. This new model is intended for characterizing heterogeneous panels, allowing the regression coefficients to vary both across individuals and over time. Specifically, heterogeneity is allowed for by assuming that these coefficients are bounded continuous functions of an observable variable and fluctuate between a limited number of "extreme regimes". The model can be viewed as a generalization of the threshold panel model of Hansen (1999). We extend the modelling strategy originally designed for univariate smooth transition regression models to the panel context. The strategy consists of model specification based on homogeneity tests, parameter estimation, and model evaluation, including tests of parameter constancy and no remaining heterogeneity. The model is applied to describing firms' investment decisions in the presence of capital market imperfections.

KW - financial constraints, heterogeneous panel, investment, misspecification test, nonlinear modelling of panel data, smooth transition model

M3 - Working paper

BT - Panel Smooth Transition Regression Models

PB - Institut for Økonomi, Aarhus Universitet

ER -