期刊
JOURNAL OF ECONOMETRICS
卷 195, 期 2, 页码 169-186出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2016.03.005
关键词
Dynamic panel threshold models; Endogenous threshold effects and regressors; FD-GMM and FD-2SLS; Linearity and exogeneity tests; Investment
资金
- Promising-Pioneering Researcher Program by Seoul National University (SNU)
- Jewon research institute
- ESRC [RES-000-22-3161]
This paper addresses an important issue of modeling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the first-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. (C) 2016 Elsevier B.V. All rights reserved.
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