Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56363 
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dc.contributor.authorGonzález, Andrésen
dc.contributor.authorTeräsvirta, Timoen
dc.contributor.authorDijk, Dick vanen
dc.date.accessioned2012-03-28T13:11:16Z-
dc.date.available2012-03-28T13:11:16Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/56363-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x604en
dc.subject.jelC12en
dc.subject.jelC23en
dc.subject.jelC52en
dc.subject.jelG31en
dc.subject.jelG32en
dc.subject.ddc330en
dc.subject.keywordfinancial constraintsen
dc.subject.keywordheterogeneous panelen
dc.subject.keywordinvesatmenten
dc.subject.keywordmisspecification testen
dc.subject.keywordnonlinear modelling panel dataen
dc.subject.keywordsmooth transition modelen
dc.subject.stwBetriebliche Investitionspolitiken
dc.subject.stwPanelen
dc.subject.stwRegressionen
dc.subject.stwNichtlineare Optimierungen
dc.titlePanel smooth transition regression models-
dc.typeWorking Paperen
dc.identifier.ppn497881756en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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