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Inconsistency of 2SLS estimators in threshold regression with endogeneity

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  • Yu, Ping

Abstract

This paper shows the inconsistency of three forms of 2SLS estimators to illustrate the specialty of the endogeneity problem in threshold regression.

Suggested Citation

  • Yu, Ping, 2013. "Inconsistency of 2SLS estimators in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 120(3), pages 532-536.
    • Handle: RePEc:eee:ecolet:v:120:y:2013:i:3:p:532-536
    DOI: 10.1016/j.econlet.2013.06.023
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    References listed on IDEAS

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    1. Otilia Boldea & Alastair Hall & Sanggohn Han, 2012. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," Econometric Reviews, Taylor & Francis Journals, vol. 31(1), pages 1-33.
    2. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
    3. Caner, Mehmet & Hansen, Bruce E., 2004. "Instrumental Variable Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 20(5), pages 813-843, October.
    4. Kourtellos, Andros & Stengos, Thanasis & Tan, Chih Ming, 2016. "Structural Threshold Regression," Econometric Theory, Cambridge University Press, vol. 32(4), pages 827-860, August.
    5. Perron, Pierre & Yamamoto, Yohei, 2014. "A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls," Econometric Theory, Cambridge University Press, vol. 30(2), pages 491-507, April.
    6. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
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    Citations

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    Cited by:

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    2. Liu, Manzhi & Chen, Meng & He, Gang, 2017. "The origin and prospect of billion-ton coal production capacity in China," Resources, Conservation & Recycling, Elsevier, vol. 125(C), pages 70-85.
    3. Djedje Hermann Yohou, 2020. "Corruption, Tax reform and Fiscal space in Emerging and Developing Economies," Working Papers hal-02987268, HAL.
    4. Rim Boussaada & Abdelaziz Hakimi & Majdi Karmani, 2022. "Is there a threshold effect in the liquidity risk–non‐performing loans relationship? A PSTR approach for MENA banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1886-1898, April.
    5. Hideaki Matsuoka, 2022. "Debt Intolerance: Threshold Level and Composition," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(4), pages 894-932, August.
    6. N. R. Ramírez-Rondán, 2020. "Maximum likelihood estimation of dynamic panel threshold models," Econometric Reviews, Taylor & Francis Journals, vol. 39(3), pages 260-276, March.
    7. Yu, Ping, 2015. "Consistency of the least squares estimator in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 131(C), pages 41-46.
    8. Seo, Myung Hwan & Shin, Yongcheol, 2016. "Dynamic panels with threshold effect and endogeneity," Journal of Econometrics, Elsevier, vol. 195(2), pages 169-186.
    9. Yu, Ping & Phillips, Peter C.B., 2018. "Threshold regression with endogeneity," Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.
    10. repec:cep:stiecm:/2014/577 is not listed on IDEAS
    11. Harb, Nermeen & Hall, Stephen G., 2019. "Does foreign aid play a role in the maintenance of economic growth? A non-linear analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 192-204.
    12. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    13. Hermann D. Yohou, 2023. "Corruption, tax reform and fiscal space in emerging and developing economies," The World Economy, Wiley Blackwell, vol. 46(4), pages 1082-1118, April.
    14. Abdelaziz Hakimi & Rim Boussaada & Majdi Karmani, 2022. "Is the relationship between corruption, government stability and non‐performing loans non‐linear? A threshold analysis for the MENA region," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4383-4398, October.
    15. Fernando Ubeda & Marta Ortiz-de-Urbina-Criado & Eva-María Mora-Valentín, 2019. "Do firms located in science and technology parks enhance innovation performance? The effect of absorptive capacity," The Journal of Technology Transfer, Springer, vol. 44(1), pages 21-48, February.

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    More about this item

    Keywords

    Threshold regression; Endogeneity; Inconsistency; 2SLS estimator; Identification;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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