A variable addition test for exogeneity in structural threshold models

Daniele Massacci

Economics Letters, 2013, vol. 120, issue 1, 5-9

Abstract: This paper proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.

Keywords: Threshold regression model; Endogeneity; Exogeneity test; Variable addition test (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:1:p:5-9

DOI: 10.1016/j.econlet.2013.03.044

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