ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION

Andros Kourtellos, Thanasis Stengos and Yiguo Sun

Econometric Theory, 2022, vol. 38, issue 3, 562-595

Abstract: This paper estimates threshold regression models with an endogenous threshold variable using a nonparametric control function approach. Assuming diminishing threshold effects, we derive the consistency and limiting distribution of our proposed estimator constructed from the series approximation method for weakly dependent data. In addition, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effects exist. We assess the performance of our methods using Monte Carlo simulations.

Date: 2022
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Citations: View citations in EconPapers (4)

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Working Paper: Endogeneity in Semiparametric Threshold Regression (2017)
Working Paper: Endogeneity in Semiparametric Threshold Regression (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:38:y:2022:i:3:p:562-595_5

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