Structural Threshold Regression

Andros Kourtellos (), Thanasis Stengos () and Chih Ming Tan ()
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Andros Kourtellos: Department of Economics, University of Cyprus

Working Paper Series from Rimini Centre for Economic Analysis

Abstract: This paper extends the simple threshold regression framework of Hansen (2000) and Caner and Hansen (2004) to allow for endogeneity of the threshold variable. We develop a concentrated least squares estimator of the threshold parameter based on an inverse Mills ratio bias correction. We show that our estimator is consistent and investigate its performance using a Monte Carlo simulation that indicates the applicability of the method in nite samples Classification-JEL: C13, C51

New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Date: 2009-01, Revised 2009-01
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Related works:
Working Paper: Structural Threshold Regression (2009)
Working Paper: Structural Threshold Regression (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:rim:rimwps:wp22_09

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