Consistency of the least squares estimator in threshold regression with endogeneity

Ping Yu

Economics Letters, 2015, vol. 131, issue C, 41-46

Abstract: This paper shows that when the threshold variable is independent of other covariates, such as in the structural change model, the least squares estimator of the threshold point is consistent even if endogeneity is present.

Keywords: Threshold regression; Endogeneity; Least squares estimation; Consistency (search for similar items in EconPapers)
JEL-codes: C13 C14 C21 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:131:y:2015:i:c:p:41-46

DOI: 10.1016/j.econlet.2015.03.035

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