Threshold effects in non-dynamic panels: Estimation, testing, and inference
AbstractTests a fixed effects regression for one or two breaks in a single regressor, with breaks determined by the values of another variable. Bruce Hansen(1999), "Threshold effects in non dynamic panels: estimation, testing and inference", Journal of Econometrics, vol 93, pp 345-368.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 93 (1999)
Issue (Month): 2 (December)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Tom Doan, . "RATS programs to replicate Hansen's example of threshold break in panel data," Statistical Software Components RTZ00088, Boston College Department of Economics.
- Bruce E. Hansen, 1997. "Threshold effects in non-dynamic panels: Estimation, testing and inference," Boston College Working Papers in Economics 365, Boston College Department of Economics.
- Tom Doan, . "PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model," Statistical Software Components RTS00152, Boston College Department of Economics.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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