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Essays On Heterogeneous Large Panel Data Models, Ke Miao

Dissertations and Theses Collection (Open Access)

This dissertation consists of three papers which contribute to the estimation and inference theory of the heterogeneous large panel data models. The first chapter studies a panel threshold model with interactive fixed effects. The least-squares estimators in the shrinking-threshold-effect framework are explored. The inference theory on both slope coefficients and the threshold parameter is derived, and a test for the presence of the threshold effect is proposed. The second chapter considers the least-squares estimation of a panel structure threshold regression (PSTR) model, where parameters may exhibit latent group structures. Under some regularity conditions, the latent group structure can be correctly …