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Panel Smooth Transition Regression Models
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Number of Authors: 4
2017 (English)Report (Other academic)
Abstract [en]

We introduce the panel smooth transition regression model. This newmodel is intended for characterizing heterogeneous panels, allowing the regressioncoecients to vary both across individuals and over time. Specically,heterogeneity is allowed for by assuming that these coecients are boundedcontinuous functions of an observable variable and uctuate between a limitednumber of "extreme regimes". The model can be viewed as a generalization ofthe threshold panel model of Hansen (1999). We extend the modelling strategyoriginally designed for univariate smooth transition regression models tothe panel context. The strategy consists of model specication based on homogeneitytests, parameter estimation, and model evaluation, including testsof parameter constancy and no remaining heterogeneity. The model is appliedto describing rms' investment decisions in the presence of capital market imperfections.Keywords: nancial constraints

Place, publisher, year, edition, pages
2017. , 47 p.
Series
Working paper / Department of Statistics, Uppsala University, 2017:3
Keyword [en]
financial constraints; heterogeneous panel; investment; misspecification test; nonlinear modelling of panel data; smooth transition model
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-332277OAI: oai:DiVA.org:uu-332277DiVA: diva2:1152759
Funder
The Jan Wallander and Tom Hedelius Foundation, J99/37; J02-35; P2016-0293:1Swedish National Infrastructure for Computing (SNIC), 2015/6-117
Note

This is a revised and updated version of the Working Paper No. 604(2005) in the Working Paper Series of Economics and Finance, Stockholm School of Economics.

Available from: 2017-10-26 Created: 2017-10-26 Last updated: 2017-10-27Bibliographically approved

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Citation style
  • apa
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  • de-DE
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Output format
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