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

被引：3949

作者：

Hansen, BE ^{[1
]}

机构：

[1] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA

来源：

JOURNAL OF ECONOMETRICS | 1999年 / 93卷 / 02期

基金：

美国国家科学基金会;

关键词：

threshold regression; panel data; liquidity constraints; investment; non-standard distribution;

D O I：

10.1016/S0304-4076(99)00025-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard, asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. The methods are applied to a 15-year sample of 565 US firms to test whether financial constraints affect investment decisions. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：345 / 368

页数：24

共 17 条

[1]

ABEL AB, 1994, AM ECON REV, V84, P1369

[2]

ABEL AB, 1996, INVESTMENT Q FIXED C

[3] OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT ONLY UNDER THE ALTERNATIVE [J].