Seo, Myung Hwan and Shin, Yongcheol (2016) Dynamic panels with threshold effect and endogeneity. Journal of Econometrics. pp. 169-186. ISSN 0304-4076
Abstract
This paper addresses an important issue of modelling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the fi…rst-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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2016 Elsevier B.V. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details. |
Keywords: | Dynamic panel threshold models,Endogenous threshold effects and regressors,FD-GMM and FD-2SLS,Investment,Linearity and exogeneity tests |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 06 Dec 2016 11:53 |
Last Modified: | 02 Apr 2025 23:07 |
Published Version: | https://doi.org/10.1016/j.jeconom.2016.03.005 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.jeconom.2016.03.005 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:109096 |
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Description: Dynamic Panels with Threshold Effect and Endogeneity
Licence: CC-BY-NC-ND 2.5