Threshold Regression for Fixed‐T Panel Data with Interactive Fixed Effects
开发了一个新的工具箱，用于估计和推断具有交互固定效应且时间维度固定的面板数据阈值回归模型，并应用于研究通货膨胀对经济增长的影响。
ABSTRACT This paper develops a new toolbox for estimation and inference in panel data threshold regression models with interactive fixed effects and a fixed number of time periods, . The toolbox is designed to be simple, accurate, and computationally efficient. It is based on a simple least squares style estimator of the model parameters, and includes a number of inferential procedures for testing hypotheses regarding not only the threshold but also other parameters. The new toolbox is applied to study the impact of inflation on economic growth.