I would like to test for threshold effects and estimate the threshold in a non dynamic panel as decribed in "Threshold effects in non dynamic panels: estimation, testing and inference" by Bruce Hansen, Journal of Econometrics, 93 (1999) p. 345-368. It seems to me that the procedure threshtest.src cannot be used in the case of a panel. Is there another procedure that permits to perform the adequate test ? Or, is it possible to use the threshtest.src by changing some codes ?
Thanks in advance
PANELTHRESH: testing for threshold with panel model
Re: testing for threshold with panel model
Actually, you can't use @THRESHTEST for several reasons: first, it is testing for a complete sample split, while the Hansen 1999 paper is using a set of non-breaking variables as well. Also, @THRESHTEST doesn't allow for fixed effects.
The Hansen 1999 example is posted at http://www.estima.com/forum/viewtopic.php?f=8&t=1195.
The Hansen 1999 example is posted at http://www.estima.com/forum/viewtopic.php?f=8&t=1195.