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Structural Threshold Regression

Author

Listed:
  • Andros Kourtellos

    (Department of Economics,University of Cyprus)

  • Thanasis Stengos

    (Department of Economics, University of Guelphy)

  • Chih Ming Tan

    (Department of Economics,Tufts University)

Abstract

This paper extends the simple threshold regression framework of Hansen (2000) and Caner and Hansen (2004) to allow for endogeneity of the threshold variable. We develop a concentrated least squares estimator of the threshold parameter based on an inverse Mills ratio bias correction. We show that our estimator is consistent and investigate its performance using a Monte Carlo simulation that indicates the applicability of the method in finite samples.

Suggested Citation

  • Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2009. "Structural Threshold Regression," Working Papers 0907, University of Guelph, Department of Economics and Finance.
    • Handle: RePEc:gue:guelph:2009-7.
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    File URL: http://www.uoguelph.ca/economics/repec/workingpapers/2009/2009-07.pdf
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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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