Threshold Effects in the Public Capital Productivity: AnInternational Panel Smooth Transition Approach

By Hurlin Christophe and Colletaz Gilbert
Working Paper IDEAS (2006)

  • Christophe Hurlin

    University of Orléans



May 26, 2017

Last update

May 26, 2017










This code allows estimating the parameters of a Panel Smooth Transition Regression (PSTR) model. In this code, the panel can be unbalanced. The user can define the number of location parameters see Gonzalez et al., 2005 for more details) and the maximum number of transition function. The code automatically determines the optimal number of transition functions, by testing the hypothesis of no remaining heterogeneity, using a 5% nominal risk. The parameters (slope parameter and location parameters of the transition function, slopes parameters in each regime for all the explicative variables…) are estimated by NLS. At the end, the individual elasticities for each explicative variable are computed and stored in an excel file. The data are issued from Colletaz and Hurlin (2006), “Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach”.

Empirical generalizations on the impact of stars on the economic success of movies

International Journal of Research in Marketing (2017)

Hofmann Julian, Clement Michel, Völckner Franziska, and Hennig-Thurau Thorsten

How Does the Stock Market Absorb Shocks?

SSRN (2017)

Frank Murray and Sanati Ali

The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach'

Economic Modelling (2008)

Hurlin Christophe, Rabaud Isabelle, and Fouquau Julien

Loss functions for LGD models comparison

Working Paper (2017)

Hurlin Christophe, Leymarie Jérémy, and Patin Antoine

Maximum likelihood estimation of the equity premium

Journal of Financial Economics (2017)

Avdis Efstathios and Wachter Jessica

Tradable aggregate risk factors and the cross-section of stock returns

Working Paper (2016)

Pekkala Tapio and Doskov Nikolay

Compensatory Word of Mouth: Advice as a Device to Restore Control

International Journal of Research in Marketing (2017)

Peluso Alessandro M., Bonezzi Andrea , De Angelis Matteo, and Rucker Derek D.


Zip Archive




Higher-order statistics for DSGE models

Econometrics and Statistics (2016)

Mutschler Willi

Pitfalls in Systemic-Risk Scoring

SSRN (2016)

Perignon Christophe, Hurlin Christophe, and Benoit Sylvain

0 comment

Add comment

You need to log in to post a comment.