ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION

被引：8

作者：

Kourtellos, Andros ^{[1
]}

Stengos, Thanasis ^{[2
]}

Sun, Yiguo ^{[2
]}

机构：

[1] Univ Cyprus, Nicosia, Cyprus

[2] Univ Guelph, Guelph, ON, Canada

来源：

ECONOMETRIC THEORY | 2022年 / 38卷 / 03期

基金：

欧盟地平线“2020”;

关键词：

LEAST-SQUARES ESTIMATOR; ASYMPTOTIC NORMALITY; INFERENCE;

D O I：

10.1017/S0266466621000256

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper estimates threshold regression models with an endogenous threshold variable using a nonparametric control function approach. Assuming diminishing threshold effects, we derive the consistency and limiting distribution of our proposed estimator constructed from the series approximation method for weakly dependent data. In addition, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effects exist. We assess the performance of our methods using Monte Carlo simulations.

引用

页码：562 / 595

页数：34

共 37 条

[1] ASYMPTOTIC NORMALITY OF SERIES ESTIMATORS FOR NONPARAMETRIC AND SEMIPARAMETRIC REGRESSION-MODELS [J].