# Estimation of Dynamic Panel Threshold Model using Stata

## TL;DR

This paper introduces a new Stata command for estimating dynamic panel threshold models using GMM, providing an asymptotic variance formula, a bootstrap algorithm, and demonstrating its application through simulations and economic data.

## Contribution

The paper develops the first Stata command for dynamic panel threshold models with GMM estimation, including variance formulas and bootstrap methods.

## Key findings

- Effective implementation of the command demonstrated via simulations.
- The bootstrap algorithm accurately tests linearity in models.
- Application to economic data showcases practical utility.

## Abstract

We develop a Stata command xthenreg to implement the first-differenced GMM estimation of the dynamic panel threshold model, which Seo and Shin (2016, Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive the asymptotic variance formula for a kink constrained GMM estimator of the dynamic threshold model and include an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. The use of the command is illustrated through a Monte Carlo simulation and an economic application.