Threshold effects in non-dynamic panels: Estimation, testing, and inference

Journal of Econometrics - Tập 93 Số 2 - Trang 345-368 - 1999
Bruce E. Hansen1
1Department of Economics, University of Wisconsin, Social Science Building, 1180 Observatory Drive, Madison, WI 53706, USA

Tóm tắt

Từ khóa


Tài liệu tham khảo

Abel, 1994, A unified model of investment under uncertainty, American Economic Review, 84, 1369

Abel, A.B., Eberly, J.C., 1996. Investment and q with fixed costs: An empirical analysis. Working paper, University of Pennsylvania.

Andrews, 1994, Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, 62, 1383, 10.2307/2951753

Bai, 1997, Estimating multiple breaks one at a time, Econometric Theory, 13, 315, 10.1017/S0266466600005831

Bai, 1998, Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47, 10.2307/2998540

Barnett, S.A., Sakellaris, P., 1998. Non-linear response of firm investment to q: Testing a model of convex and non-convex adjustment costs. Journal of Monetary Economics 42, 261–288.

Beran, 1987, Prepivoting to reduce the level error of confidence sets, Biometrika, 74, 457, 10.1093/biomet/74.3.457

Chan, 1993, Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model, The Annals of Statistics, 21, 520, 10.1214/aos/1176349040

Chan, 1998, Limiting properties of the least squares estimator of a continuous threshold autoregressive model, Biometrika, 85, 413, 10.1093/biomet/85.2.413

Chong, T. T-L., 1994. Consistency of change-point estimators when the number of change-points in structural change models is underspecified. Working paper, Chinese University of Hong Kong.

Davies, 1977, Hypothesis testing when a nuisance parameter is present only under the alternative, Biometrika, 64, 247, 10.2307/2335690

Davies, 1987, Hypothesis testing when a nuisance parameter is present only under the alternative, Biometrika, 74, 33

Fazzari, S.M., Glenn Hubbard, R., Petersen, B.C., 1988. Financing constraints and corporate investment. Brookings Papers on Economic Activity. pp. 141–195.

Hall, B.H., Hall, R.E., 1993. The value and performance of U.S. corporations. Brookings Papers on Economic Activity. pp. 1–34.

Hansen, 1996, Inference when a nuisance parameter is not identified under the null hypothesis, Econometrica, 64, 413, 10.2307/2171789

Hansen, B.E., 1999. Sample splitting and threshold estimation. Econometrica, forthcoming.

Hu, 1998, Investment and capital market imperfections: A switching regression approach using U.S. firm panel data, Review of Econometrics and Statistics, 80, 466, 10.1162/003465398557564