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Structural Threshold Regression

  • Andros Kourtellos

    ()

    (Department of Economics,University of Cyprus)

  • Thanasis Stengos

    ()

    (Department of Economics, University of Guelphy)

  • Chih Ming Tan

    ()

    (Department of Economics,Tufts University)

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.

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File URL: http://www.uoguelph.ca/economics/repec/workingpapers/2009/2009-07.pdf
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Paper provided by University of Guelph, Department of Economics and Finance in its series Working Papers with number 0907.

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Length: 23 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:gue:guelph:2009-7.
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Web page: https://www.uoguelph.ca/economics/

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  1. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  2. William Easterly & Ross Levine, 2002. "Tropics, Germs, and Crops: How Endowments Influence Economic Development," NBER Working Papers 9106, National Bureau of Economic Research, Inc.
  3. Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
  4. Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
  5. Li, Qi & Wooldridge, Jeffrey M., 2002. "Semiparametric Estimation Of Partially Linear Models For Dependent Data With Generated Regressors," Econometric Theory, Cambridge University Press, vol. 18(03), pages 625-645, June.
  6. Caner, Mehmet & Hansen, Bruce E., 2004. "Instrumental Variable Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 20(05), pages 813-843, October.
  7. Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
  8. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January.
  9. Papageorgiou, Chris, 2006. "Trade as a threshold variable for multiple regimes: Reply," Economics Letters, Elsevier, vol. 91(3), pages 460-461, June.
  10. 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.
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