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PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Tests 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.

Suggested Citation

  • Tom Doan, "undated". "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.
    • Handle: RePEc:boc:bocode:rts00152
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/panelthresh.src
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    More about this item

    Keywords

    Fixed effects; structural breaks; RATS;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • 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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