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
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Citations: View citations in EconPapers (2)

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http://ase.tufts.edu/econ/research/documents/2008/tanStructural.pdf (application/pdf)

Related works:
Journal Article: STRUCTURAL THRESHOLD REGRESSION (2016)
Working Paper: Structural Threshold Regression (2011)
Working Paper: Structural Threshold Regression (2011)
Working Paper: Structural Threshold Regression (2009)
Working Paper: Structural Threshold Regression (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tuf:tuftec:0717

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