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.

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Year of publication:	2009
Authors:	Kourtellos, Andros ; Stengos, Thanasis ; Tan, Chih Ming
Institutions:	Department of Economics and Finance, College of Business and Economics

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 0907 23 pages
Classification:	C13 - Estimation ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008558435