@article{Wang:271689,
      recid = {271689},
      author = {Wang, Qunyong},
      title = {Fixed-effect panel threshold model using Stata},
      journal = {Stata Journal},
      address = {2015},
      number = {199-2018-2539},
      year = {2015},
      abstract = {Threshold models are widely used in macroeconomics and  financial analysis for their simple and obvious economic  implications. With these models, however, estimation and  inference is complicated by the existence of nuisance  parameters. To combat this issue, Hansen (1999, Journal of  Econometrics 93: 345–368) proposed the fixed-effect panel  threshold model. In this article, I introduce a new command  (xthreg) for implementing this model. I also use Monte  Carlo simulations to show that, although the size  distortion of the threshold-effect test is small, the  coverage rate of the confidence interval estimator is  unsatisfactory. I include an example on financial  constraints (originally from Hansen [1999, Journal of  Econometrics 93: 345–368]) to further demonstrate the use  of xthreg.},
      url = {http://ageconsearch.umn.edu/record/271689},
      doi = {https://doi.org/10.22004/ag.econ.271689},
}