tsqr: Sequential Threshold-Spatial-Quantile Panel Estimation
Implements a sequential panel estimation protocol for regional
economic panels that combines three estimation layers in a fixed order.
The first layer applies a two-way fixed effects baseline. The second
layer applies the panel threshold regression method of Hansen (1999)
<doi:10.1016/S0304-4076(99)00025-1> to identify structural breaks at an
unknown threshold of a moderating variable, with bootstrap inference
following Hansen (2000) <doi:10.1111/1468-0262.00124>. The third layer
applies a spatial Durbin model with an impact decomposition following
LeSage and Pace (2009, ISBN:978-1-4200-6424-7) to quantify direct and
indirect spillover effects. The fourth layer applies the two-step panel
quantile estimator of Canay (2011) <doi:10.1111/j.1368-423X.2011.00349.x>
to document distributional heterogeneity in the outcome. The threshold
identified in the second layer defines a subsample used as structured
input to the fourth layer, and a consistency check evaluates whether the
three sets of results are jointly compatible with a common underlying
structural relationship. An illustrative panel of 33 districts of the
state of Maharashtra, India, observed over 10 agricultural years, is
included with the package.
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