Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247523 
Year of Publication: 
2019
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 7 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-8
Publisher: 
MDPI, Basel
Abstract: 
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 N-rate and the remaining parameters are estimated by GMM at the ÍN-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.
Subjects: 
threshold regression
dynamic models
endogeneity
panel data
GMM estimation
integrated difference kernel IDK estimator
superconsistency
JEL: 
C23
C24
C26
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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