Threshold effects in non-dynamic panels: Estimation, testing, and inference
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The variable SIZE has a statistically significant threshold effect at the 1% level (Fstat = 145.09 > Crit5 = 44.3507, P-value = 0.0000 < 0.05).
“Based on the values of Fstat, Prob, and Crit5, the results show that the variable SIZE has Fstat > Crit5 (145.09> 44.3507) and P-value = 0.0000 < 0.05, rejecting the hypothesis H0 about the nonexistence of the threshold and confirming that the threshold is statistically significant at the 1% level (Hansen, 1999).”
From The impact of inventory management on Vietnam's industrial firm performance: A double-threshold regression approach (2025) · cites this paper as Hansen, 1999
The fixed effect estimator of the panel threshold model requires that the covariates are strongly exogenous for the estimator to be consistent.
“The panel model with threshold effects proposed by Hansen (1999) has been widely used in empirical research [78], but the fixed effect estimator of the model requires that the covariates are strongly exogenous for the estimator to be consistent.”
From Digital financial inclusion and quality of economic growth (2023) · cites this paper as Hansen (1999)
The fixed effect estimator of the panel threshold model requires that the covariates are strongly exogenous for the estimator to be consistent.
“The panel model with threshold effects proposed by Hansen (1999) has been widely used in empirical research [78], but the fixed effect estimator of the model requires that the covariates are strongly exogenous for the estimator to be consistent.”
From Digital financial inclusion and quality of economic growth (2023) · cites this paper as [78]
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“For this reason, threshold model developed by Hansen (1999) is employed, which allows non-linear relationship between dependent and independent variables, which are determined by the threshold level (Bilman & Karaoglan, 2020).”
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- Authors
- Hansen, B. E.
- Affiliations
- University of Wisconsin–Madison (US)
- Corresponding author
- Hansen, Bruce E.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1999-12
- Volume
- 93
- Issue
- 2
- Pages
- 345-368
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2081908573
- Cited by
- 5,260
- References
- 16
- Citations by year
- 2026: 718 · 2025: 673 · 2024: 641 · 2023: 605 · 2022: 557 · 2021: 406 · 2020: 321 · 2019: 225 · 2018: 178 · 2017: 111 · 2016: 111 · 2015: 96 · 2014: 103 · 2013: 99 · 2012: 75
- FWCI
- 18.66
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Journal of Econometrics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Funders
- National Science Foundation
- Alfred P. Sloan Foundation
- Topics
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economic Growth and Productivity
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Bayesian Inference
- Keywords
- threshold regression, least squares estimation, confidence intervals, hypothesis testing, financial constraints, investment decision-making, firm-level data
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