PanelTM (Q7380922)
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Two- And Three-Way Dynamic Panel Threshold Regression Model for Change Point Detection
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | PanelTM |
Two- And Three-Way Dynamic Panel Threshold Regression Model for Change Point Detection |
Statements
Selene Perazzini
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expanded from: GPL (≥ 2) (English)
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Estimation of two-way and three-way dynamic panel threshold regression models using the first-differenced instrumental-variable generalized method of moments (FD-IV-GMM) estimator. The implementation builds on Seo and Shin (2016) <doi:10.1016/j.jeconom.2016.03.005> and Di Lascio and Perazzini (2026) <doi:10.1007/s10260-026-00842-3>. The models accommodate time-varying exogenous and endogenous regressors and allow the lagged dependent variable to serve as the threshold variable. The package includes a bootstrap-based test for threshold effects, a procedure for identifying change points in individual time series, functions for simulating two-way and three-way panel data with regime changes, and tools for evaluating estimator performance through bias and root mean squared error measures.
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30 October 2026
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