IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v203y2018i1p50-68.html
   My bibliography  Save this article

Threshold regression with endogeneity

Author

Listed:
  • Yu, Ping
  • Phillips, Peter C.B.

Abstract

This paper studies estimation in threshold regression with endogeneity in the regressors and thresholding variable. Three key results differ from those in regular models. First, both the threshold point and the threshold effect parameters are shown to be identified without the need for instrumentation. Second, in partially linear threshold models, both parametric and nonparametric components rely on the same data, which prima facie suggests identification failure. But, as shown here, the discontinuity structure of the threshold itself supplies identifying information for the parametric coefficients without the need for extra randomness in the regressors. Third, instrumentation plays different roles in the estimation of the system parameters, delivering identification for the structural coefficients in the usual way, but raising convergence rates for the threshold effect parameters and improving efficiency for the threshold point. Simulation studies corroborate the theory and the asymptotics. An empirical application is conducted to explore the effects of 401(k) retirement programs on savings, illustrating the relevance of threshold models in treatment effects evaluation in the presence of endogeneity.

Suggested Citation

  • Yu, Ping & Phillips, Peter C.B., 2018. "Threshold regression with endogeneity," Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.
  • Handle: RePEc:eee:econom:v:203:y:2018:i:1:p:50-68
    DOI: 10.1016/j.jeconom.2017.09.007
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304407617302348
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.jeconom.2017.09.007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    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. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    4. Yu, Ping, 2015. "Consistency of the least squares estimator in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 131(C), pages 41-46.
    5. 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.
    6. Durlauf, Steven N & Johnson, Paul A, 1995. "Multiple Regimes and Cross-Country Growth Behaviour," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 365-384, Oct.-Dec..
    7. S. Darolles & Y. Fan & J. P. Florens & E. Renault, 2011. "Nonparametric Instrumental Regression," Econometrica, Econometric Society, vol. 79(5), pages 1541-1565, September.
    8. Pierre Perron & Yohei Yamamoto, 2015. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January.
    9. David H. Romer & Jeffrey A. Frankel, 1999. "Does Trade Cause Growth?," American Economic Review, American Economic Association, vol. 89(3), pages 379-399, June.
    10. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
    11. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    12. James M. Poterba & Steven F. Venti, 1998. "Personal Retirement Saving Programs and Asset Accumulation: Reconciling the Evidence," NBER Chapters, in: Frontiers in the Economics of Aging, pages 23-124, National Bureau of Economic Research, Inc.
    13. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(3), pages 315-352, June.
    14. Newey, Whitney K., 1994. "Kernel Estimation of Partial Means and a General Variance Estimator," Econometric Theory, Cambridge University Press, vol. 10(2), pages 1-21, June.
    15. Abadie, Alberto, 2003. "Semiparametric instrumental variable estimation of treatment response models," Journal of Econometrics, Elsevier, vol. 113(2), pages 231-263, April.
    16. Peter C. B. Phillips & Liangjun Su, 2011. "Non‐parametric regression under location shifts," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 457-486, October.
    17. Yu, Ping, 2013. "Inconsistency of 2SLS estimators in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 120(3), pages 532-536.
    18. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-1481, November.
    19. Wang, Qiying & Phillips, Peter C. B., 2016. "Nonparametric Cointegrating Regression With Endogeneity And Long Memory," Econometric Theory, Cambridge University Press, vol. 32(2), pages 359-401, April.
    20. Hidalgo, Javier, 1995. "A Nonparametric Conditional Moment Test for Structural Stability," Econometric Theory, Cambridge University Press, vol. 11(4), pages 671-698, August.
    21. Bin Chen & Yongmiao Hong, 2012. "Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression," Econometrica, Econometric Society, vol. 80(3), pages 1157-1183, May.
    22. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
    23. Wilbert van der Klaauw, 2002. "Estimating the Effect of Financial Aid Offers on College Enrollment: A Regression-Discontinuity Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(4), pages 1249-1287, November.
    24. Müller, Hans-Georg & Song, Kai-Sheng, 1997. "Two-stage change-point estimators in smooth regression models," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 323-335, June.
    25. Hsiao, Cheng & Li, Qi & Racine, Jeffrey S., 2007. "A consistent model specification test with mixed discrete and continuous data," Journal of Econometrics, Elsevier, vol. 140(2), pages 802-826, October.
    26. Daron Acemoglu & Simon Johnson & James A. Robinson, 2001. "The Colonial Origins of Comparative Development: An Empirical Investigation," American Economic Review, American Economic Association, vol. 91(5), pages 1369-1401, December.
    27. Li, Q. & Wang, Suojin, 1998. "A simple consistent bootstrap test for a parametric regression function," Journal of Econometrics, Elsevier, vol. 87(1), pages 145-165, August.
    28. Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
    29. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-125, April-Jun.
    30. James M. Poterba & Steven F. Venti, 1994. "401(k) Plans and Tax-Deferred Saving," NBER Chapters, in: Studies in the Economics of Aging, pages 105-142, National Bureau of Economic Research, Inc.
    31. Yu, Ping, 2012. "Likelihood estimation and inference in threshold regression," Journal of Econometrics, Elsevier, vol. 167(1), pages 274-294.
    32. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    33. David A. Wise, 1994. "Studies in the Economics of Aging," NBER Books, National Bureau of Economic Research, Inc, number wise94-1.
    34. Yu, Ping, 2014. "The Bootstrap In Threshold Regression," Econometric Theory, Cambridge University Press, vol. 30(3), pages 676-714, June.
    35. Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, vol. 134(2), pages 373-399, October.
    36. Qiying Wang & Peter C. B. Phillips, 2009. "Structural Nonparametric Cointegrating Regression," Econometrica, Econometric Society, vol. 77(6), pages 1901-1948, November.
    37. Papageorgiou, Chris, 2002. "Trade as a threshold variable for multiple regimes," Economics Letters, Elsevier, vol. 77(1), pages 85-91, September.
    38. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    39. Dennis Kristensen, 2012. "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 420-461, October.
    40. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    41. Li, Qi, 1996. "On the root-N-consistent semiparametric estimation of partially linear models," Economics Letters, Elsevier, vol. 51(3), pages 277-285, June.
    42. Kourtellos, Andros & Stengos, Thanasis & Tan, Chih Ming, 2016. "Structural Threshold Regression," Econometric Theory, Cambridge University Press, vol. 32(4), pages 827-860, August.
    43. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    44. Yixiao Sun, 2005. "Adaptive Estimation of the Regression Discontinuity Model," Econometrics 0506003, University Library of Munich, Germany.
    45. Hahn, Jinyong & Todd, Petra & Van der Klaauw, Wilbert, 2001. "Identification and Estimation of Treatment Effects with a Regression-Discontinuity Design," Econometrica, Econometric Society, vol. 69(1), pages 201-209, January.
    46. Joshua D. Angrist & Kathryn Graddy & Guido W. Imbens, 2000. "The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 67(3), pages 499-527.
    47. Victor Chernozhukov & Christian Hansen, 2004. "The Effects of 401(K) Participation on the Wealth Distribution: An Instrumental Quantile Regression Analysis," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 735-751, August.
    48. Poterba, James M. & Venti, Steven F. & Wise, David A., 1995. "Do 401(k) contributions crowd out other personal saving?," Journal of Public Economics, Elsevier, vol. 58(1), pages 1-32, September.
    49. 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.
    50. Chernozhukov, Victor & Hansen, Christian, 2006. "Instrumental quantile regression inference for structural and treatment effect models," Journal of Econometrics, Elsevier, vol. 132(2), pages 491-525, June.
    51. Chih Ming Tan, 2010. "No one true path: uncovering the interplay between geography, institutions, and fractionalization in economic development," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(7), pages 1100-1127, November/.
    52. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    53. David S. Lee & Thomas Lemieux, 2010. "Regression Discontinuity Designs in Economics," Journal of Economic Literature, American Economic Association, vol. 48(2), pages 281-355, June.
    54. Hsiao,Cheng & Morimune,Kimio & Powell,James L. (ed.), 2001. "Nonlinear Statistical Modeling," Cambridge Books, Cambridge University Press, number 9780521662468, September.
    55. Kapetanios, George, 2010. "Testing For Exogeneity In Threshold Models," Econometric Theory, Cambridge University Press, vol. 26(1), pages 231-259, February.
    56. Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77, Elsevier.
    57. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    58. Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November.
    59. 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.
    60. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
    61. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
    62. Ping Yu & Yongqiang Zhao, 2013. "Asymptotics for threshold regression under general conditions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 430-462, October.
    63. Joel L. Horowitz, 2014. "Ill-Posed Inverse Problems in Economics," Annual Review of Economics, Annual Reviews, vol. 6(1), pages 21-51, August.
    64. Gao, Jiti & Gijbels, Irene & Van Bellegem, Sebastien, 2008. "Nonparametric simultaneous testing for structural breaks," Journal of Econometrics, Elsevier, vol. 143(1), pages 123-142, March.
    65. Newey, Whitney K & Stoker, Thomas M, 1993. "Efficiency of Weighted Average Derivative Estimators and Index Models," Econometrica, Econometric Society, vol. 61(5), pages 1199-1223, September.
    66. Eric M. Engen & William G. Gale & John Karl Scholz, 1996. "The Illusory Effects of Saving Incentives on Saving," Journal of Economic Perspectives, American Economic Association, vol. 10(4), pages 113-138, Fall.
    67. Heckman, James J, 1996. "Randomization as an Instrumental Variable: Notes," The Review of Economics and Statistics, MIT Press, vol. 78(2), pages 336-341, May.
    68. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
    69. Ping Yu, 2016. "Understanding Estimators of Treatment Effects in Regression Discontinuity Designs," Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 586-637, April.
    70. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, September.
    71. James J. Heckman & Hidehiko Ichimura & Petra Todd, 1998. "Matching As An Econometric Evaluation Estimator," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(2), pages 261-294.
    72. Delgado, Miguel A. & Hidalgo, Javier, 2000. "Nonparametric inference on structural breaks," Journal of Econometrics, Elsevier, vol. 96(1), pages 113-144, May.
    73. David A. Wise, 1998. "Frontiers in the Economics of Aging," NBER Books, National Bureau of Economic Research, Inc, number wise98-1.
    74. Benjamin, Daniel J., 2003. "Does 401(k) eligibility increase saving?: Evidence from propensity score subclassification," Journal of Public Economics, Elsevier, vol. 87(5-6), pages 1259-1290, May.
    75. Powell, James L., 1987. "Semiparametric Estimation Of Bivariate Latent Variable Models," SSRI Workshop Series 292689, University of Wisconsin-Madison, Social Systems Research Institute.
    76. Porter, Jack & Yu, Ping, 2015. "Regression discontinuity designs with unknown discontinuity points: Testing and estimation," Journal of Econometrics, Elsevier, vol. 189(1), pages 132-147.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tue Gørgens & Allan H. Würtz, 2019. "Threshold Regression with Endogeneity for Short Panels," Econometrics, MDPI, vol. 7(2), pages 1-8, May.
    2. Miao, Ke & Su, Liangjun & Wang, Wendun, 2020. "Panel threshold regressions with latent group structures," Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
    3. Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2016-029, Tilburg University, Center for Economic Research.
    4. Djedje Hermann Yohou & Michaël Goujon & Bertrand Laporte & Samuel Guérineau, 2016. "Is Aid Unfriendly to Tax? African Evidence of Heterogeneous Direct and Indirect Effects," Working Papers halshs-01321620, HAL.
    5. Eckert, C. & J. Hohberger (Jan) & Franses, Ph.H.B.F., 2022. "Gaussian Copula Regression in the Presence of Thresholds," Econometric Institute Research Papers 2022-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Djedje Hermann Yohou, 2020. "Corruption, Tax reform and Fiscal space in Emerging and Developing Economies," Working Papers hal-02987268, HAL.
    7. Ping Yu & Shengjie Hong & Peter C. B. Phillips, 2022. "Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects," Cowles Foundation Discussion Papers 2352, Cowles Foundation for Research in Economics, Yale University.
    8. Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
    9. Dimitris Christopoulos & Peter McAdam & Elias Tzavalis, 2023. "Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 123-158, February.
    10. Yu, Ping, 2015. "Consistency of the least squares estimator in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 131(C), pages 41-46.
    11. Chen, Shiyi & Chng, Michael T. & Liu, Qingfu, 2021. "The implied arbitrage mechanism in financial markets," Journal of Econometrics, Elsevier, vol. 222(1), pages 468-483.
    12. Rothfelder, Mario, 2018. "Three essays on time-varying parameters and time series networks," Other publications TiSEM fc7a10c0-7eee-479a-ac22-b, Tilburg University, School of Economics and Management.
    13. Porter, Jack & Yu, Ping, 2015. "Regression discontinuity designs with unknown discontinuity points: Testing and estimation," Journal of Econometrics, Elsevier, vol. 189(1), pages 132-147.
    14. Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
    15. Chaoyi Chen & Yiguo Sun, 2018. "Monte Carlo Comparison for Nonparametric Threshold Estimators," JRFM, MDPI, vol. 11(3), pages 1-15, August.
    16. 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.
    17. 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.
    18. Alogoskoufis, George & Malliaris, A.G. & Stengos, Thanasis, 2023. "The scope and methodology of economic and financial asymmetries," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    19. Zhang, Wenjie & Quan, Hao & Srinivasan, Dipti, 2018. "Parallel and reliable probabilistic load forecasting via quantile regression forest and quantile determination," Energy, Elsevier, vol. 160(C), pages 810-819.
    20. Martins, Luis F., 2021. "The US debt–growth nexus along the business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    21. Hirche, Martin & Greenacre, Luke & Nenycz-Thiel, Magda & Loose, Simone & Lockshin, Larry, 2021. "SKU performance and distribution: A large-scale analysis of the role of product characteristics with store scanner data," Journal of Retailing and Consumer Services, Elsevier, vol. 61(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    2. Porter, Jack & Yu, Ping, 2015. "Regression discontinuity designs with unknown discontinuity points: Testing and estimation," Journal of Econometrics, Elsevier, vol. 189(1), pages 132-147.
    3. Fu, Zhonghao & Hong, Yongmiao, 2019. "A model-free consistent test for structural change in regression possibly with endogeneity," Journal of Econometrics, Elsevier, vol. 211(1), pages 206-242.
    4. Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017. "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers 2017-15, University of Miami, Department of Economics.
    5. Koo, Chao, 2018. "Essays on functional coefficient models," Other publications TiSEM ba87b8a5-3c55-40ec-967d-9, Tilburg University, School of Economics and Management.
    6. Wüthrich, Kaspar, 2019. "A closed-form estimator for quantile treatment effects with endogeneity," Journal of Econometrics, Elsevier, vol. 210(2), pages 219-235.
    7. Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers CWP77/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Kourtellos, Andros & Tan, Chih Ming & Zhang, Xiaobo, 2007. "Is the relationship between aid and economic growth nonlinear?," Journal of Macroeconomics, Elsevier, vol. 29(3), pages 515-540, September.
    9. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
    10. Kourtellos, Andros & Stengos, Thanasis & Tan, Chih Ming, 2013. "The effect of public debt on growth in multiple regimes," Journal of Macroeconomics, Elsevier, vol. 38(PA), pages 35-43.
    11. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    12. Shengfang Tang & Zongwu Cai & Ying Fang & Ming Lin, 2019. "Testing Unconfoundedness Assumption Using Auxiliary Variables," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201905, University of Kansas, Department of Economics, revised Mar 2019.
    13. Xiaohong Chen & Andres Santos, 2018. "Overidentification in Regular Models," Econometrica, Econometric Society, vol. 86(5), pages 1771-1817, September.
    14. Halbert White & Karim Chalak, 2013. "Identification and Identification Failure for Treatment Effects Using Structural Systems," Econometric Reviews, Taylor & Francis Journals, vol. 32(3), pages 273-317, November.
    15. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    16. Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2020. "Testing Unconfoundedness Assumption Using Auxiliary Variables," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202004, University of Kansas, Department of Economics, revised Feb 2020.
    17. Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
    18. A. Belloni & V. Chernozhukov & I. Fernández‐Val & C. Hansen, 2017. "Program Evaluation and Causal Inference With High‐Dimensional Data," Econometrica, Econometric Society, vol. 85, pages 233-298, January.
    19. Kaspar Wuthrich & Ying Zhu, 2019. "Omitted variable bias of Lasso-based inference methods: A finite sample analysis," Papers 1903.08704, arXiv.org, revised Sep 2021.
    20. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.

    More about this item

    Keywords

    Threshold regression; Endogeneity; Local shifter; Identification; Efficiency; Integrated difference kernel estimator; Regression discontinuity design; Optimal rate of convergence; Partial linear model; U-statistic; Threshold treatment model; 401(k) plan;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:203:y:2018:i:1:p:50-68. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.