Endogeneity in semiparametric threshold regression models with two threshold variables

Chaoyi Chen, Thanasis Stengos and Yiguo Sun

Econometric Reviews, 2023, vol. 42, issue 9-10, 758-779

Abstract: This article considers a semiparametric threshold regression model with two threshold variables. The proposed model allows endogenous threshold variables and endogenous slope regressors. Under the diminishing threshold effects framework, we derive consistency and asymptotic results of our proposed estimator for weakly dependent data. We study the finite sample performance of our proposed estimator via small Monte Carlo simulations and apply our model to classify economic growth regimes based on both national public debt and national external debt.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:42:y:2023:i:9-10:p:758-779

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DOI: 10.1080/07474938.2023.2221558

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