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Hansen, Bruce E.

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

J. Econom. 93, No. 2, 345-368 (1999).
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.

Cited in 4 Reviews
Cited in 51 Documents

MSC:

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

Keywords:

threshold regression; panel data; liquidity constraints; investment; non-standard distribution
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\textit{B. E. Hansen}, J. Econom. 93, No. 2, 345--368 (1999; Zbl 0941.62127)
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References:

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