Dynamic spatial Durbin threshold with two-way fixed effects: model, method, and test

ABSTRACT

This study introduces a dynamic spatial Durbin threshold (DSDT) model with two-way fixed effects. The method of spatial 2SLS, threshold effects test, and confidence intervals for the DSDT model are suggested after fixed effects transformation. Simulation results show that the estimation and test perform well in finite samples.

KEYWORDS:

• Dynamic spatial model
• spatial threshold model
• Spatial 2SLS
• Monte carlo simulation

JEL CLASSIFICATION:

• C14
• C15
• C31
• C33

Acknowledgements

The authors acknowledge the financial support from the National Natural Science Foundation of China (No.72073030), Mainland China.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Ethical approval

This study does not contain any studies with human participants or animals performed by the authors.

Correction Statement

This article has been corrected with minor changes. These changes do not impact the academic content of the article.

Notes

¹ As fixed effects transformation leads to the loss of degrees of freedom (df), the df in DSDM model is $(\mathit{n}-1)(\mathit{T}-2)-(2\mathit{k}+3)$ (Baltagi 2021).

Additional information

Funding

This study is supported by the National Natural Science Foundation of China (No.72073030)