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Panel data models with two threshold variables

  • Arturo Lamadrid-Contreras and Nelson R. Ramírez-Rondán EMAIL logo
Published/Copyright: July 8, 2022

Abstract

We develop threshold estimation methods for panel data models with two threshold variables and individual fixed specific effects covering short time periods. In the static panel data model, we propose least squares estimation of the threshold and regression slopes using fixed effects transformations; while in the dynamic panel data model, we propose maximum likelihood estimation of the threshold and slope parameters using first difference transformations. In both models, we propose to estimate the threshold parameters sequentially. We apply the methods to a 15-year sample of 565 U.S. firms to test whether financial constraints affect investment decisions.

JEL Classification: C13; C23; G11

Corresponding author: Nelson R. Ramírez-Rondán, CEMLA, Mexico City, Mexico, E-mail:

  1. Author contribution: All the authors have accepted responsibility for the entire content of this submitted manuscript and approved submission.

  2. Research funding: None declared.

  3. Conflict of interest statement: The authors declare no conflicts of interest regarding this article.

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Supplementary Material

The online version of this article offers supplementary material (https://doi.org/10.1515/snde-2020-0048).


Received: 2020-04-19
Revised: 2022-06-11
Accepted: 2022-06-23
Published Online: 2022-07-08

© 2022 Walter de Gruyter GmbH, Berlin/Boston

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