关键词: 动态面板阈模型, 动态调整, 阈值效应, 结构变化, 序贯两步估计

Abstract: Dynamic panel threshold model can characterize the asymmetry in the dynamic process of adjustment variables of economic, which is widely used in empirical analysis. However, the inclusion of threshold parameter increases the difficulty of parameter estimation, and leads to many unresolved problems theoretically. For this kind of model, we propose a simple but practicable two-step sequential estimation method. Firstly we make use of grid search to obtain the consistent estimator of the threshold parameter. On this basis, we can correctly split the sample and incorporate different types of moment conditions. Then we estimate the autoregressive parameter by using GMM estimation. The theoretical and simulated results demonstrate that the two-step sequential estimator enjoys good asymptotic properties and finite sample performance; compared to the existing estimators, this estimator cannot only effectively avoid the bias induced by the interaction of different types of estimators but also reduce the root mean squared error.

Key words: Dynamic Panel Threshold Model, Dynamic Adjustment, Threshold Effect, Structural Change, Two-step Sequential Estimation