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In this article, we develop a command, xthenreg, that implements the first-differenced generalized method of moments estimation of the dynamic panel threshold model that Seo and Shin (2016, Journal of Econometrics 195: 169–186) proposed. Furthermore, we derive the asymptotic variance formula for a kink-constrained generalized method of moments estimator of the dynamic threshold model and provide an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. We illustrate the use of xthenreg through a Monte Carlo simulation and an economic application.
Seo et al. (Sun,) studied this question.
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