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1、TheStataJournal(2015)15,Number1,pp.121–134Fixed-effectpanelthresholdmodelusingStataQunyongWangInstituteofStatisticsandEconometricsNankaiUniversityTianjin,ChinaQunyongWang@outlook.comAbstract.Thresholdmodelsarewidelyusedinmacroeconomicsandfinancialanalysisfortheirsimpleandobviouseconomicimpli
2、cations.Withthesemodels,however,estimationandinferenceiscomplicatedbytheexistenceofnuisanceparameters.Tocombatthisissue,Hansen(1999,JournalofEconometrics93:345–368)proposedthefixed-effectpanelthresholdmodel.Inthisarticle,Iintroduceanewcommand(xthreg)forimplementingthismodel.IalsouseMonteCarl
3、osimulationstoshowthat,althoughthesizedistortionofthethreshold-effecttestissmall,thecoveragerateoftheconfidenceintervalestimatorisunsatisfactory.Iincludeanexampleonfinancialconstraints(originallyfromHansen[1999,JournalofEconometrics93:345–368])tofurtherdemonstratetheuseofxthreg.Keywords:st037
4、3,xthreg,panelthreshold,fixedeffect1IntroductionHeterogeneityisacommonproblemofpaneldata.Thatistosay,eachindividualinastudyisdifferent,andstructuralrelationshipsmayvaryacrossindividuals.Theclassicalfixedeffectorrandomeffectreflectsonlytheheterogeneityinintercepts.Hsiao(2003)considersmanyvaryingsl
5、opemodelsforthisproblem.Amongthesemodels,Hansen’s(1999)panelthresholdmodelhasasimplespecificationbutobviousimplicationsforeconomicpolicy.Thoughthresholdmodelsarefamiliarintime-seriesanalysis,theirusewithpaneldatahasbeenlimited.Thethresholdmodeldescribesthejumpingcharacterorstructuralbreakin
6、there-lationshipbetweenvariables.Thismodeltypeispopularinnonlineartimeseries,oneexamplebeingthethresholdautoregressive(TAR)model(Tong1983).Thismodelcancapturemanyeconomicphenomena.Forexample,usingfive-yearintervalaveragesofstandardmeasuresoffinancialdevelopment,inflation,andgrowthfor84countri
7、esfrom1960to1995,RousseauandWachtel(2009)showedthatthereisaninflationthresh-oldforthefinanceandgrowthrelationshipthatliesbetween13–25%.Wheninflationexceedsthethreshold,financeceasestoincreaseeconomicgrowth.Inflation’seffectoneconomicgrowthdependsontheinflationlevel.H
