Package: PanelTM
Type: Package
Title: Two- And Three-Way Dynamic Panel Threshold Regression Model for
        Change Point Detection
Version: 1.2
Authors@R: c(person("Selene", "Perazzini", role = c("aut"), email = "selene.perazzini@alumni.imtlucca.it"),
             person("F. Marta L.", "Di Lascio", role = c("aut","cre"), email = "marta.dilascio@unibz.it")
	    )
Maintainer: F. Marta L. Di Lascio <marta.dilascio@unibz.it>
Description: 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.
License: GPL (>= 2)
Depends: R (>= 4.3.0), methods, stats, pracma, MASS
Imports:
NeedsCompilation: no
Packaged: 2026-10-29 16:01:06 UTC; FDiLascio
Author: Selene Perazzini [aut],
  F. Marta L. Di Lascio [aut, cre]
Repository: CRAN
Date/Publication: 2026-10-30 09:51:09 UTC
