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Estimation of two-way and three-way dynamic panel threshold regression models using the first-differenced instrumental-variable generalized method of moments (FD-IV-GMM) estimator. The implementation builds on Seo and Shin (2016) <doi:10.1016/j.jeconom.2016.03.005> and Di Lascio and Perazzini (2026) <doi:10.1007/s10260-026-00842-3>. The models accommodate time-varying exogenous and endogenous regressors and allow the lagged dependent variable to serve as the threshold variable. The package includes a bootstrap-based test for threshold effects, a procedure for identifying change points in individual time series, functions for simulating two-way and three-way panel data with regime changes, and tools for evaluating estimator performance through bias and root mean squared error measures.
| Version: | 1.2 |
| Depends: | R (≥ 4.3.0), methods, stats, pracma, MASS |
| Published: | 2026-10-30 |
| DOI: | 10.32614/CRAN.package.PanelTM |
| Author: | Selene Perazzini [aut], F. Marta L. Di Lascio [aut, cre] |
| Maintainer: | F. Marta L. Di Lascio <marta.dilascio at unibz.it> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Materials: | ChangeLog |
| CRAN checks: | PanelTM results |
| Reference manual: | PanelTM.html , PanelTM.pdf |
| Package source: | PanelTM_1.2.tar.gz |
| Windows binaries: | r-devel: PanelTM_1.1.zip, r-release: PanelTM_1.2.zip, r-oldrel: PanelTM_1.2.zip |
| macOS binaries: | r-release (arm64): PanelTM_1.2.tgz, r-oldrel (arm64): PanelTM_1.2.tgz, r-release (x86_64): PanelTM_1.2.tgz, r-oldrel (x86_64): PanelTM_1.2.tgz |
| Old sources: | PanelTM archive |
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