Structural Threshold Regression
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.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: Guelph, Ontario, N1G 2W1|
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Web page: https://www.uoguelph.ca/economics/
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- Seo, Myung Hwan & Linton, Oliver, 2007.
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- Daron Acemoglu & Simon Johnson & James A. Robinson, 2001.
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- Bruce E. Hansen, 2000.
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- 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.
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