Maximum likelihood estimation of dynamic panel threshold models

N. R. Ramírez-Rondán

Research output: Contribution to journalArticle in a journalpeer-review

2 Scopus citations


Threshold estimation methods are developed for dynamic panels with individual specific fixed effects covering short time periods. Maximum likelihood estimation of the threshold and slope parameters is proposed using first difference transformations. Threshold estimate is shown to be consistent and its asymptotic distribution is nonstandard when the number of individuals grows to infinity for a fixed time period; the slope estimates are consistent and asymptotically normally distributed. The method is applied to a sample of 74 countries and 11 periods of 5-year averages to determine the effect of inflation rate on long-run economic growth.

Original languageEnglish
Pages (from-to)260-276
Number of pages17
JournalEconometric Reviews
Issue number3
StatePublished - 15 Mar 2020
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2019, © 2019 Taylor & Francis Group, LLC.


  • Dynamic panel data
  • maximum likelihood estimation
  • threshold models


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