Maximum likelihood estimation of dynamic panel threshold models
针对短时间周期的动态面板数据，提出用最大似然法估计阈值和斜率参数，并应用于74个国家11个时期的数据，研究通胀率对长期经济增长的影响。
Threshold estimation methods are developed for dynamic panels with individual specific fixed effects covering short time periods. Maximum likelihood estimation of the threshold and slope parameters is proposed using first difference transformations. Threshold estimate is shown to be consistent and its asymptotic distribution is nonstandard when the number of individuals grows to infinity for a fixed time period; the slope estimates are consistent and asymptotically normally distributed. The method is applied to a sample of 74 countries and 11 periods of 5-year averages to determine the effect of inflation rate on long-run economic growth.