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
Open accessAbstract
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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“Therefore, we use the first-differenced GMM (FD-GMM) estimation to address the possible endogeneity of the panel threshold model [79,80].”
From Digital financial inclusion and quality of economic growth (2023) · cites this paper as [79]
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Cites
Estimating and Testing Linear Models with Multiple Structural Changes
Bai, J., & Perron, P. (1998) · Econometrica · doi:10.2307/2998540 · Cited by 6,112
Threshold effects in non-dynamic panels: Estimation, testing, and inference
Hansen, B. E. (1999) · Journal of Econometrics · doi:10.1016/s0304-4076(99)00025-1 · Cited by 5,260
Threshold Effects in the Relationship between Inflation and Growth
Khan, M. S., & Ssnhadji, A. S. (2001) · IMF Staff Papers · doi:10.2307/4621658 · Cited by 786
Dynamic panels with threshold effect and endogeneity
Seo, M. H., & Shin, Y. (2016) · Journal of Econometrics · doi:10.1016/j.jeconom.2016.03.005 · Cited by 698
Self-citationFiscal deficits and growth in developing countries
Adam, C. S., & Bevan, D. L. (2004) · Journal of Public Economics · doi:10.1016/j.jpubeco.2004.02.006 · Cited by 410
Fixed-Effect Panel Threshold Model using Stata
Wang, Q. (2015) · The Stata Journal Promoting communications on statistics and Stata · doi:10.1177/1536867x1501500108 · Cited by 398
A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
Giacomini, R., Politis, D. N., & White, H. (2013) · Econometric Theory · doi:10.1017/s0266466612000655 · Cited by 210
The Lasso for High Dimensional Regression with a Possible Change Point
Lee, S., Seo, M. H., & Shin, Y. (2015) · Journal of the Royal Statistical Society Series B (Statistical Methodology) · doi:10.1111/rssb.12108 · Cited by 109
Self-citationRobust inference for threshold regression models
Hidalgo, J., Lee, J.-Y., & Seo, M. H. (2019) · Journal of Econometrics · doi:10.1016/j.jeconom.2019.01.008 · Cited by 62
Self-citationWelfare Effects of Uzbekistanís Foreign Exchange Regime
Rosenberg, B. C. B., & de Zeeuw, M. (2001) · RePEc: Research Papers in Economics · Cited by 39
Panel kink regression with an unknown threshold
Zhang, Y., Zhou, Q., & Jiang, L. (2017) · Economics Letters · doi:10.1016/j.econlet.2017.05.033 · Cited by 39
Oracle Estimation of a Change Point in High-Dimensional Quantile Regression
Lee, S., Liao, Y., Seo, M. H., & Shin, Y. (2017) · Journal of the American Statistical Association · doi:10.1080/01621459.2017.1319840 · Cited by 38
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Du, J., Shen, Z., Song, M., & Vardanyan, M. (2023) · Energy Economics · doi:10.1016/j.eneco.2023.106595 · Cited by 313
Wang, Q., Li, Y., & Li, R. (2024) · Humanities and Social Sciences Communications · doi:10.1057/s41599-024-03520-5 · Cited by 280
FinTech and financial stability: Threat or opportunity?
Daud, S. N. M., Ahmad, A. H., Khalid, A., & Azman-Saini, W. N. W. (2021) · Finance research letters · doi:10.1016/j.frl.2021.102667 · Cited by 195
The impact of energy security on income inequality: The key role of economic development
Lee, C., Xing, W., & Lee, C. (2022) · Energy · doi:10.1016/j.energy.2022.123564 · Cited by 174
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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
- 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
- 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
- bronze
- doi.org
- 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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