search query: @indexterm ECONOMETRICS / total: 250
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Author: | Hansen, B. E. |
Title: | Threshold effects in non-dynamic panels: Estimation, testing, and difference |
Journal: | Journal of Econometrics
1999 : DEC, VOL. 93:2, p. 345-368 |
Index terms: | ECONOMETRICS LIQUIDITY INVESTMENT DISTRIBUTION |
Freeterms: | THRESHOLD REGRESSION PANEL DATA |
Language: | eng |
Abstract: | Threshold regression methods are developed for non-dynamic panels with individual-specific effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. |
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