Seo, Myung Hwan; Shin, Yongcheol - Suntory and Toyota International Centres for Economics … - 2014
This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both threshold variable and regressors are allowed to be endogenous. Depending on...