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Structural Threshold Regression

Andros Kourtellos (), Thanasis Stengos and Chih Ming Tan

No 907, Working Papers from University of Guelph, Department of Economics and Finance

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 finite samples.

JEL-codes: C13 C51 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2009
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (14)

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Working Paper: Structural Threshold Regression (2011) Downloads
Working Paper: Structural Threshold Regression (2011) Downloads
Working Paper: Structural Threshold Regression (2009) Downloads
Working Paper: Structural Threshold Regression (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:gue:guelph:2009-7.

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