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Cited by 359Spatial and Panel Data AnalysisStatistical Methods and Bayesian InferenceAdvanced Causal Inference Techniques

The DOI matches its Crossref record; 12 of the 12 references it cites were found in a registry or an index.

Estimation of dynamic panel threshold model using Stata

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Seo, Myung Hwan, Kim, Sueyoul, Kim, Young-Joo·2019·The Stata Journal Promoting communications on statistics and Stata
DOI 10.1177/1536867x19874243
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Abstract

In this article, we develop a command, xthenreg, that implements the first-differenced generalized method of moments estimation of the dynamic panel threshold model that Seo and Shin (2016, Journal of Econometrics 195: 169–186) proposed. Furthermore, we derive the asymptotic variance formula for a kink-constrained generalized method of moments estimator of the dynamic threshold model and provide an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. We illustrate the use of xthenreg through a Monte Carlo simulation and an economic application.

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Metadata

Authors
Seo, M. H., Kim, S., & Kim, Y.-J.
Affiliations
  • Seoul National University (KR)
  • University of Maryland, College Park (US)
  • Hongik University (KR)
Corresponding author
  • Seo, Myung Hwan
  • Kim, Sueyoul
  • Kim, Young-Joo
ORCID
Venue
The Stata Journal Promoting communications on statistics and Stata
Publisher
SAGE Publications
Published
2019-09
Volume
19
Issue
3
Pages
685-697
ISSN
  • 1536-867X (ISSN-L)
  • 1536-8734
DOI
10.1177/1536867x19874243
OpenAlex
W2919906414
Cited by
352
References
12
Citations by year
2026: 72 · 2025: 86 · 2024: 62 · 2023: 61 · 2022: 33 · 2021: 24 · 2020: 12 · 2019: 2
FWCI
22.13
Type
journal article
Language
en
Open access
Licence
journals.sagepub.com/page/policies/text-and-data-mining-license (tdm)
Locations
  • The Stata Journal Promoting communications on statistics and Stata (publishedVersion)
  • arXiv (Cornell University) (submittedVersion)
  • Rare & Special e-Zone (The Hong Kong University of Science and Technology) (submittedVersion)
  • Seoul National University Open Repository (Seoul National University) (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
  • Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Bayesian Inference
  • Physical Sciences › Mathematics › Statistics and Probability › Advanced Causal Inference Techniques
Keywords
dynamic panel threshold model, Stata command, asymptotic variance, bootstrap algorithm, linearity testing

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