Department of Economics and Business Economics

Threshold regression with endogeneity for short panels

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  • rp18_27

    Final published version, 533 KB, PDF document

  • Tue Gørgens, Australian National University, Australia
  • 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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages12
Publication statusPublished - 14 Nov 2018
SeriesCREATES Research Papers
Number2018-27

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