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Panel Smooth Transition Regression Models

Publikation: Working paper/Preprint Working paperForskning

Dokumenter

  • rp17_36

    Forlagets udgivne version, 751 KB, PDF-dokument

  • Andrés González, Banco de la República, Colombia
  • Timo Terasvirta
  • Dick van Dijk, Erasmus University Rotterdam, Holland
  • Yukai Yang, Uppsala University, Sverige
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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider47
StatusUdgivet - 19 okt. 2017
SerietitelCREATES Research Papers
Nummer2017-36

    Forskningsområder

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

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