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http://hdl.handle.net/10419/56363
  
Title:Panel smooth transition regression models PDF Logo
Authors:González, Andrés
Teräsvirta, Timo
Dijk, Dick van
Issue Date:2005
Series/Report no.:SSE/EFI Working Paper Series in Economics and Finance 604
Abstract:We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are continuous functions of an observable variable through a bounded function of this variable and fluctuate between a limited number (often two) of extreme regimes. The model can be viewed as a generalization of the threshold panel model of Hansen (1999). We extend the modelling strategy for univariate smooth transition regression models to the panel context. This comprises of model specification based on homogeneity tests, parameter estimation, and diagnostic checking, including tests for parameter constancy and no remaining nonlinearity. The new model is applied to describe firms' investment decisions in the presence of capital market imperfections.
Subjects:financial constraints
heterogeneous panel
invesatment
misspecification test
nonlinear modelling panel data
smooth transition model
JEL:C12
C23
C52
G31
G32
Document Type:Working Paper
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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