English, Article, Journal or magazine article edition: Threshold effects in non-dynamic panels: Estimation, testing and inference Bruce E. Hansen

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Bookmark: http://trove.nla.gov.au/version/74139
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Threshold effects in non-dynamic panels: Estimation, testing and inference
Author
  • Bruce E. Hansen
Physical Description
  • preprint
Notes
  • 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 U.S. firms to test whether financial constraints affect investment decisions.
  • panel data, threshold regression
  • RePEc:boc:bocoec:365
Language
  • English
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