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PanelTM: Two- And Three-Way Dynamic Panel Threshold Regression Model for Change Point Detection
Estimation of two- and three-way dynamic panel threshold regression models (Di Lascio and Perazzini (2024) <https://repec.unibz.it/bemps104.pdf>; Di Lascio and Perazzini (2022, ISBN:978-88-9193-231-0); Seo and Shin (2016) <doi:10.1016/j.jeconom.2016.03.005>) through the generalized method of moments based on the first difference transformation and the use of instrumental variables. The models can be used to find a change point detection in the time series. In addition, random number generation is also implemented.
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Package details |
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| Author | Selene Perazzini [aut], F. Marta L. Di Lascio [aut, cre] |
| Maintainer | F. Marta L. Di Lascio <marta.dilascio@unibz.it> |
| License | GPL (>= 2) |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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