Threshold Regression with Endogeneity for Short Panels

Tue Gorgens; Allan Wurtz

doi:10.3390/econometrics7020023

Threshold Regression with Endogeneity for Short Panels

Tue Gorgens, Allan Wurtz

Research output: Contribution to journal › Article › peer-review

Abstract

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 Nâˆ’âˆ’âˆš -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.

Original language	English
Pages (from-to)	1-8
Journal	Econometrics
Volume	7
Issue number	2
DOIs	https://doi.org/10.3390/econometrics7020023
Publication status	Published - 2019

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title = "Threshold Regression with Endogeneity for Short Panels",

abstract = "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 N{\^a}ˆ{\textquoteright}{\^a}ˆ{\textquoteright}{\^a}ˆ{\v s} -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.",

author = "Tue Gorgens and Allan Wurtz",

year = "2019",

doi = "10.3390/econometrics7020023",

language = "English",

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journal = "Econometrics",

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T1 - Threshold Regression with Endogeneity for Short Panels

AU - Gorgens, Tue

AU - Wurtz, Allan

PY - 2019

Y1 - 2019

N2 - 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 Nâˆ’âˆ’âˆš -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.

AB - 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 Nâˆ’âˆ’âˆš -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.

U2 - 10.3390/econometrics7020023

DO - 10.3390/econometrics7020023

M3 - Article

VL - 7

SP - 1

EP - 8

JO - Econometrics

JF - Econometrics

IS - 2

ER -

Threshold Regression with Endogeneity for Short Panels

Abstract

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