EconPapers    
Economics at your fingertips  
 

Structural Threshold Regression

Andros Kourtellos (), Thanasis Stengos and Chih Ming Tan

No 717, Discussion Papers Series, Department of Economics, Tufts University from Department of Economics, Tufts University

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: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://ase.tufts.edu/econ/research/documents/2008/tanStructural.pdf (application/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 (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tuf:tuftec:0717

Access Statistics for this paper

More papers in Discussion Papers Series, Department of Economics, Tufts University from Department of Economics, Tufts University Medford, MA 02155, USA.
Bibliographic data for series maintained by Marcus Weir ( this e-mail address is bad, please contact ).

 
Page updated 2024-05-28
Handle: RePEc:tuf:tuftec:0717