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arXiv · 2606.12184

Threshold Regression for Fixed-T Panel Data with Interactive Fixed Effects

Jan Ditzen·Yiannis Karavias·Joakim Westerlund
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Abstract

This paper develops a new toolbox for estimation and inference in panel data threshold regression models with interactive fixed effects and a fixed number of time periods, T. The toolbox is designed to be simple, accurate and computationally efficient. It is based on a simple least squares style estimator of the model parameters, and includes a number of inferential procedures for testing hypotheses regarding not only the threshold but also other parameters. The new toolbox is applied to study the impact of inflation on economic growth.

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Jan Ditzen, Yiannis Karavias, Joakim Westerlund. 2026-06-10. Threshold Regression for Fixed-T Panel Data with Interactive Fixed Effects. https://arxiv.org/abs/2606.12184

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