Endogeneity in Semiparametric Threshold Regression

Andros Kourtellos (), Thanasis Stengos and Yiguo Sun
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Andros Kourtellos: Department of Economics, University of Cyprus, Cyprus; The Rimini Centre for Economic Analysis

Working Paper series from Rimini Centre for Economic Analysis

Abstract: In this paper, we investigate semiparametric threshold regression models with endogenous threshold variables based on a nonparametric control function approach. Using a series approximation we propose a two-step estimation method for the threshold parameter. For the regression coefficients we consider least-squares estimation in the case of exogenous regressors and two-stage least-squares estimation in the case of endogenous regressors. We show that our estimators are consistent and derive their asymptotic distribution for weakly dependent data. Furthermore, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effect is zero or not. Finally, we assess the performance of our methods using a Monte Carlo simulation.

Keywords: control function; series estimation; threshold regression (search for similar items in EconPapers)
JEL-codes: C14 C24 C51 (search for similar items in EconPapers)
Date: 2017-07
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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http://www.rcea.org/RePEc/pdf/wp17-13.pdf

Related works:
Journal Article: ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION (2022)
Working Paper: Endogeneity in Semiparametric Threshold Regression (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:17-13

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