教程说明综合syllabus panel threshold regression used finance.pdfVIP

PanelThresholdRegressionUsedinFinance

一、重要性：Paneldatahasbeenincreasinglyusedinfinance

recentlybecauseoftheavailabilityofdata.However,the

econometricmethodtodealthisproblemisstillunder

development

NOTE:sometopicsarestilldeveloping

二、Topics

OurtopicscoversseveraldimensionsrelatedtoPanel.

1.PanelMethod:FixedEffect,RandomEffect,Hausmantest

1a.non-dynamics

1b.dynamics:panelGrangercausality

2.ThresholdModel:

2aCrosssectional

2b.TimeSeries

2cSmoothedTransitionThreshold

3.PTM:PanelThresholdmodel:Non-dynamic

4.DPTM:DynamicPanelThresholdModel:Dynamic

5.RobustPanelThresholdmodel(mightnothavetime)

6.EndogenousSwitchingPanelModel(NotMarkovSwitching)

三、參考文獻：

3.1PanelGrangerCausality

Estimatingdynamicpaneldatamodel,Judson,Eonomciletters,2002

FinancialDevelopmentandEconomics:thereexaminationusingpanel

Grangercausality;HerinandVenet,2004

3.2PTM:

ThresholdeffectinNon-DynamicPanel,Testing,estimationandinference;B.

Hansen,JournalofEconometrics,1999

DeterminantofNIMinBankingIndustry,J.ofFinancialStudies

()Shen,KuoandChen,2001,

Doesbankrelationmatterforafirms’investmentandfinancialconstraint?Panel

thresholdmodel,AppliedEconomics,ShenandWang,2003

TheeffectofNon-performingloan:thethresholdmodel

Openness,GrowthandConvergenceClub;AThresholdRegressionModel,

Serranantio,2004

CapitalStructureandOperatingEfficiencyofListedCompanies,Neih

3.3DPTM

Financialdevelopmentandeconomicgrowth:theapplicationofdy