A variable addition test for exogeneity in structural threshold models

This paper proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.

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Year of publication:	2013
Authors:	Massacci, Daniele
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 1, p. 5-9
Publisher:	Elsevier
Subject:	Threshold regression model \| Endogeneity \| Exogeneity test \| Variable addition test

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010665679