Panel kink threshold regression model with a covariate-dependent threshold

DOI10.1093/ECTJ/UTAA035MaRDI QIDQ5083286zbMATH OpenOpenAlexFDO

Authors Lixiong Yang, Chingnun Lee, I-Po Chen, C. L. Zhang

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ectj/utaa035

zbMATH Keywords

covariate-dependent thresholdkink threshold regressionMonte Carlo simulationspanel data

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(8)

• High dimensional threshold model with a time-varying threshold based on Fourier approximation
• Panel threshold mixed data sampling models with a covariate-dependent threshold
• Bootstraps for dynamic panel threshold models
• High-dimensional mixed data sampling models with a covariate-dependent threshold
• Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects
• Panel threshold model with covariate-dependent thresholds and its application to the cash flow/investment relationship
• A note on the covariate-dependent kink threshold regression model for panel data
• Panel smooth transition model with covariate-dependent thresholds and its application to the nexus between investment and cash flow

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