Threshold Effects in Non-Dynamic Panels: Estimation, Testing, and Inference

By Hansen Bruce E.
Journal of Econometrics (1999)

  • Christophe Hurlin

    University of Orléans



October 22, 2013

Last update

October 24, 2013










This code allows estimating the parameters of a Panel Threshold Regression (PTR) model with one or two thresholds parameters. The model does not exactly correspond to that proposed by Hansen (1999). All the slope parameters are affected by the regime. In this model, you can consider contemporary exogenous variable. The code does not automatically introduce some lags on the threshold variable and the explicative variables. If you want to introduce such lags, you have to introduce lagged data in the form. The results display the estimated slope parameters and thresholds parameters. The F-tests F1 and/or F2 (test on the number of regimes) are also displayed. The corresponding Boostrap pvalues are displayed if the chosen number of simulations is greater than 0.

Stock prices, exchange rates and portfolio equity flows: A Toda-Yamamoto Panel Causality Test

Journal of Economic Studies (2019)

Andriansyah Andriansyah

Catch me if you can. Can human observers identify insiders in asset markets?

Journal of Economic Psychology (2018)

Palan Stefan and Stöckl Thomas

Aggregation mechanisms for crowd predictions

Experimental Economics (2019)

Huber Jürgen, Palan Stefan, and Senninger Larissa

Does Investor Risk Perception Drive Asset Prices in Markets? Experimental Evidence.

Journal of Banking and Finance (2019)

Huber Jürgen, Zeisberger Stefan, and Palan Stefan

Capital, risk and profitability of WAEMU banks: Does bank ownership matter?

SOAS Centre for Global Finance (2019)

Kanga, Desire, Murinde Victor, and Soumare Issouf

The impact of interest rate ceilings on households' credit access: Evidence from a 2013 Chilean legislation

Journal of Banking and Finance (2019)

Madeira Carlos

On the Monetization of Mobile Apps

International Journal of Research in Marketing (2020)

Appel Gil, Libai Barak, Muller Eitan, and Shachar Ron

A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price

Economic Modelling (2017)

Nazlioglu Saban

Heterogeneous Inflation Expectations and Learning

Journal of Money, Credit and Banking (2015)

Madeira Carlos and Zafar Basit

0 comment

Add comment

You need to log in to post a comment.