具有两个阈值变量的面板数据模型

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-07-08 DOI:10.1515/snde-2020-0048

Arturo Lamadrid-Contreras, N. Ramírez-Rondán

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引用次数: 0

摘要

我们开发了具有两个阈值变量和单个固定特定效应的面板数据模型的阈值估计方法，这些模型覆盖了短时间。在静态面板数据模型中，我们提出使用固定效应变换对阈值和回归斜率进行最小二乘估计;而在动态面板数据模型中，我们使用一阶差分变换提出阈值和斜率参数的最大似然估计。在这两个模型中，我们都建议按顺序估计阈值参数。我们将这些方法应用于565家美国公司的15年样本，以测试财务约束是否影响投资决策。

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Panel data models with two threshold variables

Abstract We develop threshold estimation methods for panel data models with two threshold variables and individual fixed specific effects covering short time periods. In the static panel data model, we propose least squares estimation of the threshold and regression slopes using fixed effects transformations; while in the dynamic panel data model, we propose maximum likelihood estimation of the threshold and slope parameters using first difference transformations. In both models, we propose to estimate the threshold parameters sequentially. We apply the methods to a 15-year sample of 565 U.S. firms to test whether financial constraints affect investment decisions.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.