Marco Barassi, Yiannis Karavias, Chongxian Zhu
arXiv 8 Aug 2023 · Econometrics · publishedOxford Bulletin of Economics and Statistics (2026)
arXiv:2308.04057 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces unit-specific heterogeneity in panel data threshold regression. We develop a comprehensive asymptotic theory for models with heterogeneous thresholds, heterogeneous slope coefficients, and interactive fixed effects. Our estimation methodology employs the Common Correlated Effects approach, which is able to handle heterogeneous coefficients while maintaining computational simplicity. We also propose a semi-homogeneous model with heterogeneous slopes but a common threshold, revealing novel mean group estimator convergence rates due to the interaction of heterogeneity with the shrinking threshold assumption. Tests for linearity are provided, and also a modified information criterion which can choose between the fully heterogeneous and the semi-homogeneous models. Monte Carlo simulations demonstrate the good performance of the new methods in small samples. The new theory is applied to examine the Feldstein-Horioka puzzle and it is found that threshold nonlinearity with respect to trade openness exists only in a small subset of countries.
appendix boundary found by none_found · 100% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Pesaran, M Hashem (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure | 1.000 | 13 | 5 | 100% |
| 2 | Hansen, Bruce E (2000) Sample splitting and threshold estimation | 1.000 | 9 | 3 | 100% |
| 3 | Miao, Ke and Li, Kunpeng and Su, Liangjun (2020) Panel threshold models with interactive fixed effects | 1.000 | 7 | 5 | 100% |
| 4 | Chudik, Alexander and Mohaddes, Kamiar and Pesaran, M Hashem and Rai… (2017) Is there a debt-threshold effect on output growth? | 1.000 | 5 | 3 | 100% |
| 5 | De Vos, Ignace and Stauskas, Ovidijus (2024) Cross-section bootstrap for CCE regressions | 0.928 | 4 | 3 | 100% |
| 6 | Feldstein, Martin and Horioka, Charles (1980) Domestic saving and international capital flows | 0.874 | 11 | 2 | 100% |
| 7 | Hacio glu Hoke, Sinem and Kapetanios, George (2021) Common correlated effect cross-sectional dependence corrections for nonlinear conditional mean panel models | 0.874 | 6 | 2 | 100% |
| 8 | Xun Lu and Liangjun Su (2023) Uniform inference in linear panel data models with two-dimensional heterogeneity | 0.811 | 4 | 2 | 100% |
| 9 | A. Juodis and Y. Karavias and V. Sarafidis (2021) A homogeneous approach to testing for Granger non-causality in heterogeneous panels self | 0.737 | 3 | 2 | 100% |
| 10 | Jan Ditzen and Yiannis Karavias (2025) Interactive, Grouped and Non-separable Fixed Effects: A Practitioner’s Guide to the New Panel Data Econometrics self | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 40 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Inference on many jumps in nonparametric panel regression models | 0.644 | 2 | 2 |
| 2 | Interactive, Grouped and Non-separable Fixed Effects: A Practitioner's Guide to the New Panel Data Econometrics | 0.511 | 2 | 2 |