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.
- Language
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 2 ; Pages: 1-8 ; Basel: MDPI
- Classification
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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
- Subject
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threshold regression
dynamic models
endogeneity
panel data
GMM estimation
integrated difference kernel IDK estimator
superconsistency
- Event
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Geistige Schöpfung
- (who)
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Gørgens, Tue
Würtz, Allan H.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2019
- DOI
-
doi:10.3390/econometrics7020023
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Gørgens, Tue
- Würtz, Allan H.
- MDPI
Time of origin
- 2019
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