PanelTM: Two- And Three-Way Dynamic Panel Threshold Regression Model for Change Point Detection

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

Documentation:

Reference manual:

PanelTM.html , PanelTM.pdf

Downloads:

Package source:	PanelTM_1.2.tar.gz
Windows binaries:	r-devel: PanelTM_1.1.zip, r-release: PanelTM_1.1.zip, r-oldrel: PanelTM_1.1.zip
macOS binaries:	r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available
Old sources:	PanelTM archive

Linking:

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