Threshold Regression with Endogeneity for Short Panels
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DOI: 10.3390/econometrics7020023
Abstract: This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated nonparametrically at the N-rate and the remaining… read more here.
Keywords: regression; regression endogeneity; threshold regression; endogeneity short ... See more keywords