The Threshold (ハザマ, Hazama) is a world between Heaven and Earth. It exists as a transit realm for souls who have departed from Earth, especially those who still have lingering attachments to their previous lives. The Threshold is also the world wherein Black Stars perform their duties. Stagnant souls live there,too.
The Threshold is a world where the wishes of the stagnant souls come true, depending on what you wish the world is deformed into anything, as a city, school, etc. The Threshold can fulfill any desire except to revive. It is also possible that stagnant souls can create illusions on the Threshold at will. The illusions (most likely) will last until the soul that created the illusion gets killed.