Bruce E. Hansen
"Threshold effects in non-dynamic panels: Estimation, testing and inference"
Journal of Econometrics (1999)
Program and Data Files
This program replicates the empirical work reported in the above paper.
It estimates a static balanced panel threshold model with fixed effects. Tests for threshold effects are computed using the simulated asymptotic approach of Hansen (1996, Econometrica), and confidence intervals for the threshold are calculated using the method of Hansen (2000, Econometrica).
Gauss Programs and Data
Matlab Programs and Data
R Programs and Data
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.