动态面板阈值模型的Stata估计
Estimation of Dynamic Panel Threshold Model using Stata
摘要：
我们开发了一个Stata命令xthenreg来实现Seo和Shin（2016，Journal of Econometrics 195：169-186）提出的动态面板阈值模型的一阶差分GMM估计。进一步，我们给出了动态门限模型的扭折约束GMM估计的渐近方差公式，并给出了估计算法。我们还提出了一种快速的自举算法来实现线性检验的自举。通过蒙特卡罗模拟和经济应用说明了该命令的使用。
英文摘要：
We develop a Stata command xthenreg to implement the first-differenced GMM estimation of the dynamic panel threshold model, which Seo and Shin (2016, Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive the asymptotic variance formula for a kink constrained GMM estimator of the dynamic threshold model and include an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. The use of the command is illustrated through a Monte Carlo simulation and an economic application.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
