Threshold regression with endogeneity for short panels

Publikation: Working paperForskning

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  • rp18_27

    Forlagets udgivne version, 533 KB, PDF-dokument

  • Tue Gørgens, Australian National University, Australien
  • Allan Würtz
This note 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 root N-rate. We provide simulation results that illustrate the potential advantages of the new method in comparison with pure GMM estimation. The simulations also highlight the importance the choice of instruments in GMM estimation.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider12
StatusUdgivet - 14 nov. 2018
SerietitelCREATES Research Papers
Nummer2018-27

    Forskningsområder

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

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