Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects
提出一种面板阈值模型，允许阈值随协变量和时间变化，并存在未观测的个体特定阈值效应；开发了估计、推断和检验方法，并通过模拟和两个实证应用（现金流与投资、通胀与经济增长）验证了模型性能。
This article introduces a panel threshold model with covariate-dependent and time-varying thresholds and unobserved individual-specific threshold effects (PTCDI). We develop methods for estimation and inference for threshold parameters in the proposed PTCDI model by employing the correlated random effects (CRE) device. We also suggest test statistics for linearity, threshold constancy, unobserved individual-specific threshold effects, and for determining the number of thresholds. We derive the asymptotic properties of the proposed estimator in the small-threshold-effect framework and establish the limiting distributions of the suggested test statistics. We also investigate the extension to dynamic panels and show that both the static and dynamic models can be handled uniformly in the CRE framework. Monte Carlo simulation results indicate that the estimation, inference, and testing procedures have the desired performance in finite samples. The model is illustrated with two empirical applications to the relationship between cash flow and investment and the nexus between inflation and economic growth.