Sequential Threshold-Spatial-Quantile Panel Estimation

Implements a sequential panel estimation protocol for regional economic panels that combines three estimation layers in a fixed order. The first layer applies a two-way fixed effects baseline. The second layer applies the panel threshold regression method of Hansen (1999) to identify structural breaks at an unknown threshold of a moderating variable, with bootstrap inference following Hansen (2000) . The third layer applies a spatial Durbin model with an impact decomposition following LeSage and Pace (2009, ISBN:978-1-4200-6424-7) to quantify direct and indirect spillover effects. The fourth layer applies the two-step panel quantile estimator of Canay (2011) to document distributional heterogeneity in the outcome. The threshold identified in the second layer defines a subsample used as structured input to the fourth layer, and a consistency check evaluates whether the three sets of results are jointly compatible with a common underlying structural relationship. An illustrative panel of 33 districts of the state of Maharashtra, India, observed over 10 agricultural years, is included with the package.