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Estimation of Dynamic Panel Threshold Model using Stata

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Document pages: 12 pages

Abstract: We develop a Stata command xthenreg to implement the first-differenced GMMestimation of the dynamic panel threshold model, which Seo and Shin (2016,Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive theasymptotic variance formula for a kink constrained GMM estimator of the dynamicthreshold model and include an estimation algorithm. We also propose a fastbootstrap algorithm to implement the bootstrap for the linearity test. The useof the command is illustrated through a Monte Carlo simulation and an economicapplication.

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