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Inference for Dynamic Panels with Threshold Effect and Endogeneity

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Inference for Dynamic Panels with Threshold Effect and Endogeneity. / Shin, Yongcheol; Seo, Myung Hwan.

In: Journal of Econometrics, Vol. 195, No. 2, 12.2016, p. 169-186.

Research output: Contribution to journalArticle

Harvard

Shin, Y & Seo, MH 2016, 'Inference for Dynamic Panels with Threshold Effect and Endogeneity', Journal of Econometrics, vol. 195, no. 2, pp. 169-186. https://doi.org/10.1016/j.jeconom.2016.03.005

APA

Shin, Y., & Seo, M. H. (2016). Inference for Dynamic Panels with Threshold Effect and Endogeneity. Journal of Econometrics, 195(2), 169-186. https://doi.org/10.1016/j.jeconom.2016.03.005

Vancouver

Shin Y, Seo MH. Inference for Dynamic Panels with Threshold Effect and Endogeneity. Journal of Econometrics. 2016 Dec;195(2):169-186. https://doi.org/10.1016/j.jeconom.2016.03.005

Author

Shin, Yongcheol ; Seo, Myung Hwan. / Inference for Dynamic Panels with Threshold Effect and Endogeneity. In: Journal of Econometrics. 2016 ; Vol. 195, No. 2. pp. 169-186.

Bibtex - Download

@article{5d7fed9801ce47a9b3187900d5031c2e,
title = "Inference for Dynamic Panels with Threshold Effect and Endogeneity",
abstract = "This paper addresses an important issue of modelling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the fi…rst-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.",
keywords = "Dynamic Panel Threshold Models, Endogenous Threshold E¤ects and Regressors, FD-GMM and FD-2SLS, Linearity and Exogeneity Tests, Investment.",
author = "Yongcheol Shin and Seo, {Myung Hwan}",
note = "{\circledC} 2016 Elsevier B.V. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.",
year = "2016",
month = "12",
doi = "10.1016/j.jeconom.2016.03.005",
language = "English",
volume = "195",
pages = "169--186",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "2",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Inference for Dynamic Panels with Threshold Effect and Endogeneity

AU - Shin, Yongcheol

AU - Seo, Myung Hwan

N1 - © 2016 Elsevier B.V. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.

PY - 2016/12

Y1 - 2016/12

N2 - This paper addresses an important issue of modelling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the fi…rst-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.

AB - This paper addresses an important issue of modelling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the fi…rst-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.

KW - Dynamic Panel Threshold Models, Endogenous Threshold E¤ects and Regressors, FD-GMM and FD-2SLS, Linearity and Exogeneity Tests, Investment.

U2 - 10.1016/j.jeconom.2016.03.005

DO - 10.1016/j.jeconom.2016.03.005

M3 - Article

VL - 195

SP - 169

EP - 186

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 2

ER -