Endogeneity in Threshold Nonlinearity Tests

被引：1

作者：

Dentler, Alexander ^{[1
]}

Montes-Rojas, Gabriel ^{[2
,3
]}

Olmo, Jose ^{[4
]}

机构：

[1] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA

[2] Univ San Andres, CONICET, Victoria, Buenos Aires, Argentina

[3] City Univ London, Dept Econ, London EC1V 0HB, England

[4] Univ Southampton, Sch Social Sci, Econ Div, Southampton, Hants, England

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2014年 / 43卷 / 01期

关键词：

Endogeneity; Threshold models; Wald tests; NUISANCE PARAMETER; INFERENCE; MODELS;

D O I：

10.1080/03610926.2012.655878

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article shows the conditions under which endogeneity of a regressor variable does not affect threshold nonlinearity tests. Inference on the values of the parameters derived from standard statistics is also appropriate. Simulation techniques are used to approximate the p-value of the test. Monte Carlo simulations confirm the validity of Wald tests in the presence of endogeneity in the regressors.

引用

页码：105 / 114

页数：10

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