stata面板门槛回归-南开大学王群勇.docVIP

The Stata Journal (2015) 15, Number 1, pp. 121–134 Fixed-e?ect panel threshold model using Stata Qunyong Wang Institute of Statistics and Econometrics Nankai University Tianjin, China QunyongWang@ Abstract. Threshold models are widely used in macroeconomics and ?nancial analysis for their simple and obvious economic implications. With these models, however, estimation and inference is complicated by the existence of nuisance parameters. To combat this issue, Hansen (1999, Journal of Econometrics 93: 345– 368) proposed the ?xed-e?ect panel threshold model. In this article, I introduce a new command (xthreg) for implementing this model. I also use Monte Carlo simulations to show that, although the size distortion of the threshold-e?ect test is small, the coverage rate of the con?dence interval estimator is unsatisfactory. I include an example on ?nancial constraints (originally from Hansen [1999, Journal of Econometrics 93: 345–368]) to further demonstrate the use of xthreg. Keywords: st0373, xthreg, panel threshold, ?xed e?ect 1 Introduction Heterogeneity is a common problem of panel data. That is to say, each individual in a study is di?erent, and structural relationships may vary across individuals. The classical ?xed e?ect or random e?ect re?ects only the heterogeneity in intercepts. Hsiao (2003) considers many varying slope models for this problem. Among these models, Hansen’s (1999) panel threshold model has a simple speci?cation but obvious implications for economic policy. Though threshold models are familiar in time-series analysis, their use with panel data has been limited. The threshold model describes the jumping character or structural break in the re- lationship between variables. This model type is popular in nonlinear time series, one example being the threshold autoregressive (TAR) model (Tong 1983). This model can capture many economic phenomena. For example, using ?ve-year interval averages of standard measures of ?nancial development,