  We develop a Stata command xthenreg to implement the first-differenced GMM
estimation of the dynamic panel threshold model, which Seo and Shin (2016,
Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive the
asymptotic variance formula for a kink constrained GMM estimator of the dynamic
threshold model and include an estimation algorithm. We also propose a fast
bootstrap algorithm to implement the bootstrap for the linearity test. The use
of the command is illustrated through a Monte Carlo simulation and an economic
application.
