Threshold Regression for Fixed‐T Panel Data with Interactive Fixed Effects

Bibliographic Data

ID21512867
AuthorsJan Ditzen (0000-0003-1227-7544, Faculty of Economics and Management Free University of Bozen‐Bolzano Bolzano Italy), Yiannis Karavias (0000-0002-1208-5537, Department of Economics, Finance and Accounting Brunel University of London Uxbridge UK, corresponding author), Joakim Westerlund (0000-0002-2461-351X, Department of Economics Lund University Lund Sweden)
Year2026
Publication date2026-06-09
Open AccessYes
TypeARTICLE
VenueOxford Bulletin of Economics and Statistics (JOURNAL)
Journal identifiersISSN: 0305-9049 • E-ISSN: 1468-0084
PublisherWiley (PUBLISHER • GB)
DOI10.1111/obes.70102
OpenAlexW7164026623
LanguageEN
References cited32

This paper develops a new toolbox for estimation and inference in panel data threshold regression models with interactive fixed effects and a fixed number of time periods, . The toolbox is designed to be simple, accurate, and computationally efficient. It is based on a simple least squares style estimator of the model parameters, and includes a number of inferential procedures for testing hypotheses regarding not only the threshold but also other parameters. The new toolbox is applied to study the impact of inflation on economic growth

Estimation · Estimator · Inference · Panel data · Regression · Regression analysis · Toolbox · Italy: Economic History and Contemporary Issues · Monetary Policy and Economic Impact · Spatial and Panel Data Analysis

Tools

Open DOIOpen Access