Dynamic panels with threshold effect and endogeneity
This paper addresses an important issue of modeling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the first-differenced GMM estimator, which allows both threshold variable and regressors...
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| Veröffentlicht in: | Journal of econometrics 2016-12, Vol.195 (2), p.169-186 |
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| container_title | Journal of econometrics |
| container_volume | 195 |
| creator | Seo, Myung Hwan Shin, Yongcheol |
| description | This paper addresses an important issue of modeling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the first-differenced GMM estimator, which allows both threshold variable and regressors to be endogenous. When the threshold variable becomes strictly exogenous, we propose a more efficient two-step least squares estimator. We provide asymptotic theory and develop the testing procedure for threshold effects and the threshold variable exogeneity. Monte Carlo studies provide a support for theoretical predictions. We present an empirical application investigating an asymmetric sensitivity of investment to cash flows. |
| doi_str_mv | 10.1016/j.jeconom.2016.03.005 |
| format | Article |
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| ispartof | Journal of econometrics, 2016-12, Vol.195 (2), p.169-186 |
| issn | 0304-4076 1872-6895 |
| language | eng |
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| source | Access via ScienceDirect (Elsevier) |
| subjects | Asymptotic methods Dynamic panel threshold models Econometrics Endogenous threshold effects and regressors Estimating techniques FD-GMM and FD-2SLS Generalized method of moments Investment Linearity and exogeneity tests Mathematical models Monte Carlo simulation Predictions Studies |
| title | Dynamic panels with threshold effect and endogeneity |
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