Dynamic panels with threshold effect and endogeneity

By M. Seo, Yongcheol Shin. 2016

597 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/d1f45329ae5e22c09e7fa61856d2045b8ec2b6ab

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In Economics and Econometrics

1. Mehmet Pinar
2. Thanasis Stengos
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Citations in the corpus

• Renewable energy consumption and economic growth nexus: Evidence from a threshold model (2020, methodology): “On the other hand, in a recent study, by using nonlinear ARDL approach developed by Shin et al. (2014) and the asymmetric causality procedure proposed by Hatemi-J (2012), Tugcu and Topcu (2018) find that”
• Estimation of dynamic panel threshold model using Stata (2019, unknown): “The asymptotic distribution of the constrained GMM estimator of (β, κ, γ) that imposes the kink restriction can also be derived for the same reasoning as in Seo and Shin (2016).”