A0329
Title: Threshold spatial panel data models with fixed effects
Authors: Xiaoyu Meng - Nankai University (China) [presenting]
Abstract: General estimation and inference methods are introduced for threshold spatial panel data models with two-way fixed effects in a diminishing-threshold-effects framework. A valid objective function is obtained through a simple adjustment on the concentrated quasi-loglikelihood with fixed effects being concentrated out, which leads to a consistent estimation of all common parameters. It is shown that the estimation of the threshold parameter has a negligible effect on the asymptotic distribution of the main parameter estimators, and thereby, regular inference methods apply, though a bias correction may be necessary. The limiting distribution of the threshold parameter estimator is shown to be non-regular and infeasible, and for inference, a likelihood ratio test procedure is proposed. Test for the non-existence of threshold effects faces an identification issue at the null, and a sup-Wald test is proposed with critical values being bootstrapped. Monte Carlo results show that the proposed methods perform well in finite samples. An empirical application is presented on age-of-leader effects on political competitions across Chinese cities.
