کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5057760 | 1476606 | 2017 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Panel kink regression with an unknown threshold
ترجمه فارسی عنوان
رگرسیون پنک کینک با آستانه ناشناخته
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper, we extend the kink regression model with an unknown threshold in Hansen (2017) to the panel data framework, where the cross-sectional dimension (N) goes to infinity and the time period (T) is fixed. Following the literature of threshold regressions, we propose an estimator based on the within-group transformation. Under fixed threshold effect assumption, we establish that the slope and threshold estimators are jointly normally distributed with the same convergence rate OpNâ1â2 and a non-zero asymptotic covariance. We also suggest a sup-Wald test for the presence of kink effect, and derive its limiting distribution. A bootstrap procedure is proposed to obtain the bootstrap p-values to improve the finite sample performance of the test. Monte Carlo simulations show that the FE estimator and the sup-Wald test perform quite well in estimating the unknown parameters and testing for kink effect, respectively.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 157, August 2017, Pages 116-121
Journal: Economics Letters - Volume 157, August 2017, Pages 116-121
نویسندگان
Yonghui Zhang, Qiankun Zhou, Li Jiang,