Panel threshold regressions with latent group structures

In this paper, we consider the least squares estimation of a panel structure threshold regression (PSTR) model where both the slope coefficients and threshold parameters may exhibit latent group structures. We study the asymptotic properties of the estimators of the latent group structure and the sl...

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Veröffentlicht in:	Journal of econometrics 2020-02, Vol.214 (2), p.451-481
Hauptverfasser:	Miao, Ke, Su, Liangjun, Wang, Wendun
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Capital markets Classification Deregulation Dynamic panel Estimating techniques Income inequality Investments Latent group structures Panel structure model Panel threshold regression Regression analysis Specification
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