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Threshold effects in non-dynamic panels: Estimation, testing, and inference
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DOI：10.1016/S0304-4076(99)00025-1.png)
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摘要
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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 developed which allows construction of confidence intervals and testing of hypotheses. The methods are applied to a 15-year sample of 565 US firms to test whether financial constraints affect investment decisions. (C) 1999 Elsevier Science S.A. All rights reserved.
Keyword:
threshold regression
panel data
liquidity constraints
investment
non-standard distribution
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