Assistance Needed : Implementing Threshold Model with CS-ARDL Approach (Chudik et al., 2017)

[TOGBENU edem]

Hello everyone,

I'm delighted to join this community and it's with great enthusiasm that I post my very first message.

I am currently working on a research project that requires the estimation of a dynamic threshold panel model using the CS-ARDL approach as described in the article by Chudik et al. (2017) (https://www.imf.org/external/pubs/ft...15/wp15197.pdf ).

I am looking for Stata codes to implement this model or useful resources that could help me move forward with this work. If you have any suggestions, examples, or experiences to share on this topic, I would be very grateful.

Thank you very much for your help and advice!

Best regards,

Edem

[George Ford]

https://ideas.repec.org/p/bzn/wpaper/bemps81.html

[TOGBENU edem]

Thank you very much for your quick reply, George. I was referring to the CS-ARDL threshold model. However, the link you provided only discusses the CS-ARDL model without mentioning the threshold aspect.

[George Ford]

Sorry. I don't see any commands the do so directly. Might be able to use xthreg or threshold and create all the variables by hand, but that's only a guess.

This sounds like a question for Sebastian Kripfganz. This stuff is his porch.