Panel threshold regressions with latent group structures

• Main Authors: MIAO, Ke, SU, Liangjun, WANG, Wendun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Classification; Dynamic panel; Latent group structures; Panel structure model; Panel threshold regression.; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2285; https://ink.library.smu.edu.sg/context/soe_research/article/3284/viewcontent/20190711_panel_structure_threshold_regressions_.pdf
• Institution: Singapore Management University

In this paper, we consider the least squares estimation of a panel structure threshold re-gression (PSTR) model where both the slope coefficients and threshold parameters may exhibit latent group structures. We study the asymptotic properties of the estimators of the latent group structure and the slo...