Threshold models are widely used in macroeconomics and financial analysis for their simple and obvious economic implications. With these models, however, estimation and inference is complicated by the existence of nuisance parameters. To combat this issue, Hansen (1999, Journal of Econometrics 93: 345-368) proposed the fixed-effect panel threshold model. In this article, I introduce a new command (xthreg) for implementing this model. I also use Monte Carlo simulations to show that, although the size distortion of the threshold-effect test is small, the coverage rate of the confidence interval estimator is unsatisfactory. I include an example on financial constraints (originally from Hansen [1999, Journal of Econometrics 93: 345-368]) to further demonstrate the use of xthreg.

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Long-run covariance plays a major role in much of time-series inference, such as heteroskedasticity-and autocorrelation-consistent standard errors, generalized method of moments estimation, and cointegration regression. We propose a Stata command, lrcov, to compute long-run covariance with a prewhitening strategy and various kernel functions. We illustrate how long-run covariance matrix estimation can be used to obtain heteroskedasticity-and autocorrelation-consistent standard errors via the new hacreg command; we also illustrate cointegration regression with the new cointreg command. hacreg has several improvements compared with the official newey command, such as more kernel functions, automatic determination of the lag order, and prewhitening of the data. cointreg enables the estimation of cointegration regression using fully modified ordinary least squares, dynamic ordinary least squares, and canonical cointegration regression methods. We use several classical examples to demonstrate the use of these commands.

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