Artikel
Threshold regression with endogeneity for short panels
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.
- Sprache
-
Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 2 ; Pages: 1-8 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
- Thema
-
threshold regression
dynamic models
endogeneity
panel data
GMM estimation
integrated difference kernel IDK estimator
superconsistency
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gørgens, Tue
Würtz, Allan H.
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2019
- DOI
-
doi:10.3390/econometrics7020023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Gørgens, Tue
- Würtz, Allan H.
- MDPI
Entstanden
- 2019
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