Hansen(1999) Threshold Estimation in Panel Data
Posted: Mon Sep 12, 2011 3:55 pmThis is a replication file for Bruce Hansen(1999), "Threshold effects in non dynamic panels: estimation, testing and inference", Journal of Econometrics, vol 93, pp 345-368. It uses the PANELTHRESH procedure (http://www.estima.com/forum/viewtopic.php?f=7&t=1194) to estimate a fixed effects model allowing for up to two breaks in a specific regressor.
Two things to note:
Two things to note:
- There was a bug in Hansen's original Gauss code which caused it to lose the last time period in each individual's data. This (or actually the PANELTHRESH procedure) handles this correctly.
- The bootstrapping (second part of the program) requires RATS version 8.1 or later as it is written.
panelthresh.rpf- Program file
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- invest.txt
- Data file
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