PanelTM: Two- and three-way dynamic panel threshold regression model for change point detection'' (version 1.0),  R Software Package available on the CRAN

Code

2024

Handle:

https://hdl.handle.net/10863/51529

Details

Title: PanelTM: Two- and three-way dynamic panel threshold regression model for change point detection'' (version 1.0), R Software Package available on the CRAN
Creators: Francesca Marta Lilja Di Lascio
Selene Perazzini - IMT School for Advanced Studies Lucca
Identifiers: (UNIBZ)91607609
991007197244501241
Academic Unit: Faculty of Economics and Management
Language: English
Resource Type: Code
Author Names String: Di Lascio FML, Perazzini S
Additional Description: description: Estimation of two- and three-way dynamic panel threshold regression models (Di Lascio and Perazzini (2024) ; Di Lascio and Perazzini (2022, ISBN:978-88-9193-231-0); Seo and Shin (2016) ) through the generalized method of moments based on the first difference transformation and the use of instrumental variables. The models can be used to find a change point detection in the time series. In addition, random number generation is also implemented.

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