Threshold Regression with Endogeneity for Short Panels
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 <i>N</i>-rate and the remaining parameters are estimated by GMM at the &...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-05-01
|
| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/7/2/23 |
| Summary: | 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 <i>N</i>-rate and the remaining parameters are estimated by GMM at the <inline-formula> <math display="inline"> <semantics> <msqrt> <mi>N</mi> </msqrt> </semantics> </math> </inline-formula>-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. |
|---|---|
| ISSN: | 2225-1146 |