Panel data models with two threshold variables

DOI10.1515/SNDE-2020-0048OpenAlexW4284882680WikidataQ114133126 ScholiaQ114133126MaRDI QIDQ6138251

Arturo Lamadrid-Contreras, Nelson R. Ramírez-Rondán

Publication date: 5 September 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0048

zbMATH Keywords

panel datathreshold modelcapital market imperfections

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Dynamic panels with threshold effect and endogeneity
• The incidental parameter problem since 1948
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Inference in TAR Models
• A bootstrap procedure for panel data sets with many cross-sectional units
• Biases in Dynamic Models with Fixed Effects
• Generic consistency of the break‐point estimator under specification errors
• Sample Splitting and Threshold Estimation
• Theory and Applications of TAR Model with Two Threshold Variables
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Maximum likelihood estimation of dynamic panel threshold models

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