Threshold effects in non-dynamic panels: Estimation, testing, and inference. (English) Zbl 0941.62127

Summary: Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is develop which allows construction of confidence intervals and testing of hypothesis. The methods are applied to a 15-year sample of 565 US firms to test whether financial constraints affect investment decisions.


62P20 Applications of statistics to economics
62E20 Asymptotic distribution theory in statistics
62F03 Parametric hypothesis testing
62J05 Linear regression; mixed models
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