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

Estimation of two- and three-way dynamic panel threshold regression models (Di Lascio and Perazzini (2024) < https://repec.unibz.it/bemps104.pdf>; Di Lascio and Perazzini (2022, ISBN:978-88-9193-231-0); Seo and Shin (2016) ) through the generalized method of moments based on the first difference transformation and the use of instrumental variables. The models can be used to find a change point detection in the time series. In addition, random number generation is also implemented.