Although there are some theoretical as well empirical papers on this issue, there is not a stata command directly used by stata users. Can anybody provide some clues to do this?
The codes for panel threshold is not available in Stata at the moment. The authors of this paper might be able to help. They adopted the method in the paper: Inflation and growth: new evidence from a dynamic panel threshold analysis, Stephanie Kremer · Alexander Bick · Dieter Nautz , Empir Econ (2013) 44:861–878 DOI 10.1007/s00181-012-0553-9