Hansen(1999) Threshold Estimation in Panel Data

[TomDoan]

This 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:

1. 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.
2. The bootstrapping (second part of the program) requires RATS version 8.1 or later as it is written.

panelthresh.rpf

Program file

(1.62 KiB) Downloaded 269 times

invest.txt

Data file

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