Since little is known about the degree of bias in estimated fixed effects in panel data models, we run Monte Carlo simulations on a range of different estimators. We find that Anderson-Hsiao IV, Kiviet's bias-corrected LSDV and GMM estimators all perform well in both short and long panels....

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the l∞ estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...