Abstract
ABSTRACT This paper studies the estimation of panel kink threshold model with multiple covariate-dependent thresholds. A new estimation algorithm based on the within-group transformation and linear approximation is proposed, and the asymptotic joint normality of the slope and threshold estimators is established. An information criterion is suggested to determine the number of thresholds. Monte Carlo simulations indicate that the estimation procedure works well, and the information criterion can correctly select the number of thresholds in finite samples.
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