Package 'dtp'

Title: Dynamic Panel Threshold Model
Description: Compute the dynamic threshold panel model suggested by (Stephanie Kremer, Alexander Bick and Dieter Nautz (2013) <doi:10.1007/s00181-012-0553-9>) in which they extended the (Hansen (1999) <doi: 10.1016/S0304-4076(99)00025-1>) original static panel threshold estimation and the Caner and (Hansen (2004) <doi:10.1017/S0266466604205011>) cross-sectional instrumental variable threshold model, where generalized methods of moments type estimators are used.
Authors: Taha Zaghdoudi
Maintainer: Taha Zaghdoudi <[email protected]>
License: GPL-3
Version: 0.1.0
Built: 2025-03-08 02:44:02 UTC
Source: https://github.com/cran/dtp

Help Index

Dynamic threshold panel function

Description

Dynamic threshold panel function

Usage

dtp(f, data, index = c("state", "year"), maxlags, initnum, conf, conf1, conf2,
  graph = TRUE)

Arguments

f

the formula
data

the dataframe
index

c=("id","time")
maxlags

the instruments maximum lags number
initnum

column number of the initial variable
conf

the confidential interval
conf1

the confidential interval
conf2

the confidential interval
graph

TRUE to show the threshold plot

Examples

############################################
# Fit the dynamic threshold panel data
############################################
# Load data
data(Mena)
############################################
# Estimate the model
############################################
reg<-dtp(GDPPC ~ FDI+OPEN|INF|INF,Mena,index=c("pays","ann"),4,2,0.95,0.8,1,graph = TRUE)
summary(reg)

Middle East and North Africa yearly data of economic growth, inflation rate,foreign direct investment and trade

Description

The data frame Mena contains the following variables:

  • pays:the countries

  • ann:the year

  • GDPPC:GDP per capita growth (annual pourcentage)

  • FDI:Foreign direct investment, net inflows (pourcentageof GDP)

  • INF:Inflation, consumer prices (annual pourcentage)

  • OPEN:public capital

Usage

data(Mena)

Format

A data frame with 274 rows and 4 variables

Summary of a nardl model

Description

summary method for a dtp model.

Usage

## S3 method for class 'dtp'
summary(object, ...)

Arguments

object

is the object of the function
...

not used

Value

an object of the S3 class summary.dtp with the following components: