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Threshold effects in non-dynamic panels: Estimation, testing, and inference

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  • Hansen, Bruce E.

Abstract

Replication file from Bruce Hansen(1999), "Threshold effects in non dynamic panels: estimation, testing and inference", Journal of Econometrics, vol 93, pp 345-368. Does threshold effects on a fixed effects estimator in panel data. Demonstrates use of PANELTHRESH procedure.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3XCFNPR-7/2/97b671282e8c743f96db4b02817c2e5f
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 93 (1999)
Issue (Month): 2 (December)
Pages: 345-368

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Handle: RePEc:eee:econom:v:93:y:1999:i:2:p:345-368

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Jushan Bai, 1995. "Estimating Multiple Breaks One at a Time," Working papers 95-18, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
  3. Steven M. Fazzari & R. Glenn Hubbard & BRUCE C. PETERSEN, 1988. "Financing Constraints and Corporate Investment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(1), pages 141-206.
  4. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  5. Xiaoqiang Hu & Fabio Schiantarelli, 1998. "Investment And Capital Market Imperfections: A Switching Regression Approach Using U.S. Firm Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 466-479, August.
  6. Andrew B. Abel & Janice C. Eberly, . "A Unified Model of Investment Under Uncertainty," Rodney L. White Center for Financial Research Working Papers 14-93, Wharton School Rodney L. White Center for Financial Research.
  7. repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
  8. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  9. Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
  10. Bronwyn H. Hall & Robert E. Hall, 1993. "The Value and Performance of U.S. Corporations," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 1-50.
  11. Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
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