Threshold Regression with Endogeneity for Short Panels

被引：2
|
作者：
Gorgens, Tue [1 ]
Wurtz, Allan H. [2 ,3 ]
机构：
[1] Australian Natl Univ, Res Sch Econ, Acton, ACT 2601, Australia
[2] Aarhus Univ, CREATES, Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark
[3] Aarhus Univ, Dept Econ & Business Econ, Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark
来源：
ECONOMETRICS | 2019年 / 7卷 / 02期
基金：
澳大利亚研究理事会;
关键词：
threshold regression; dynamic models; endogeneity; panel data; GMM estimation; integrated difference kernel IDK estimator; superconsistency; DYNAMIC PANELS; MODELS;
D O I：
10.3390/econometrics7020023
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 -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.
引用
收藏
页数：8
相关论文
共 50 条
  • [41] A model-free consistent test for structural change in regression possibly with endogeneity
    Fu, Zhonghao
    Hong, Yongmiao
    JOURNAL OF ECONOMETRICS, 2019, 211 (01) : 206 - 242
  • [42] Dealing with regression models' endogeneity by means of an adjusted estimator for the Gaussian copula approach
    Liengaard, Benjamin D.
    Becker, Jan-Michael
    Bennedsen, Mikkel
    Heiler, Phillip
    Taylor, Luke N.
    Ringle, Christian M.
    JOURNAL OF THE ACADEMY OF MARKETING SCIENCE, 2025, 53 (01) : 279 - 299
  • [43] Nonparametric regression for threshold data
    Müller, UU
    CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2000, 28 (02): : 301 - 310
  • [44] Regression Kink With an Unknown Threshold
    Hansen, Bruce E.
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2017, 35 (02) : 228 - 240
  • [45] Regression discontinuity threshold optimization
    Marinescu, Loana
    Triantafillou, Sofia
    Kording, Konrad
    PLOS ONE, 2022, 17 (11):
  • [46] Endogenous Kink Threshold Regression
    Zhang, Jianhan
    Chen, Chaoyi
    Sun, Yiguo
    Stengos, Thanasis
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2024,
  • [47] A Bayesian two-stage regression approach of analysing longitudinal outcomes with endogeneity and incompleteness
    Bhuyan, Prajamitra
    Biswas, Jayabrata
    Ghosh, Pulak
    Das, Kiranmoy
    STATISTICAL MODELLING, 2019, 19 (02) : 157 - 173
  • [48] A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS
    Jochmans, Koen
    ECONOMETRIC THEORY, 2020, 36 (06) : 1159 - 1166
  • [49] Compressive tests on short continuous panels
    Gordo, Jose Manuel
    Soares, C. Guedes
    MARINE STRUCTURES, 2008, 21 (2-3) : 113 - 137
  • [50] A Natural Threshold Model for Ordinal Regression
    Xingyu Wang
    Yanzhi Song
    Zhouwang Yang
    Neural Processing Letters, 2023, 55 : 4933 - 4949
12345