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Structural Threshold Regression

Andros Kourtellos (), Thanasis Stengos and Chih Ming Tan

Working Paper series from Rimini Centre for Economic Analysis

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)
Date: 2009-01
References: Add references at CitEc
Citations: View citations in EconPapers (15)

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http://www.rcea.org/RePEc/pdf/wp22_09.pdf

Related works:
Journal Article: STRUCTURAL THRESHOLD REGRESSION (2016) Downloads
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:rim:rimwps:22_09

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