EconPapers    
Economics at your fingertips  
 

Endogeneity in Semiparametric Threshold Regression

Andros Kourtellos, Thanasis Stengos () and Yiguo Sun

University of Cyprus Working Papers in Economics from University of Cyprus Department of Economics

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)
New Economics Papers: this item is included in nep-ore
Date: 2017-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://papers.econ.ucy.ac.cy/RePEc/papers/10-17.pdf (application/pdf)

Related works:
Working Paper: Endogeneity in Semiparametric Threshold Regression (2017) 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:ucy:cypeua:10-2017

Access Statistics for this paper

More papers in University of Cyprus Working Papers in Economics from University of Cyprus Department of Economics
Bibliographic data for series maintained by ().

 
Page updated 2019-04-21
Handle: RePEc:ucy:cypeua:10-2017