Two- And Three-Way Dynamic Panel Threshold Regression Model for Change Point Detection
Class "cpoint"
Computation of the regime switch time in a (two-way or three-way) pane...
Class "perfm"
Performance measures of the (two-way or three-way) panel threshold reg...
Class "ptm2"
Two-way panel threshold regression model.
Class "ptm3"
Three-way panel threshold regression model.
Class "simptm"
Data simulation from two- or three-way panel threshold regression mode...
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.