XTENDOTHRESDPD: Stata module to estimate a Dynamic Panel Data Threshold Effects Model with Endogenous Regressors

xtendothresdpd performs estimations of a dynamic panel data threshold effects model with endogenous regressors. If we have a panel data model which is dynamic, meaning that we have the dependent variable and its lagged value in the model. If, in this model, we also have a threshold effect and the regressors are endogenous, then we can use the command xtendothresdpd to estimate both the threshold effect and the slope coefficients. In this command, the threshold is determined endogenously. That is, if there is a threshold, the command finds it by using the information given by the data. The theory behind the command xtendothresdpd is provided by Kremer, Bick and Nautz (Empirical Economics, 2013).