ptm2-class {PanelTM}

Class "ptm2"

Description

A class for ptm2 and its extensions

Objects from the Class

Objects can be created by calls of the form new("ptm2", ...).

Slots

threshold:

Object of class numeric. The estimated threshold and the associated p-value.

estimates:

Object of class numeric. The vector of the parameter(s) estimated for the lower regime, the difference between the parameter(s) estimated for the upper and the lower regime, and the associated p-values.

cov.:

Object of class matrix. The sample version of covariance matrix of the estimated paramaters.

residuals.:

Object of class matrix. A matrix of the first-differenced residuals.

test.lin.:

Object of class list. Result of the linearity test.

Methods

No methods defined with class "ptm2" in the signature.

Author(s)

Selene Perazzini <[e-mail]>

Francesca Marta Lilja Di Lascio <[e-mail]>

References

Seo, M.H. and Shin, Y. (2016) Dynamic panels with threshold effect and endogeneity. Journal of Econometrics, 195(2), p.169-186.

Seo, M.H., Kim, S. and Kim Y.-J. (2019) Estimation of dynamic panel threshold model using Stata. The Stata Journal, 19(3), p.685-697.

See Also

See also ptm2.

Examples

showClass("ptm2")