In this paper, we investigate semiparametric threshold regression models with endogenous threshold variables based on a nonparametric control function approach. Using a series approximation we propose a two-step estimation method for the threshold parameter. For the regression coefficients, we...

In the presence of fixed threshold effects, the least squares (LS) estimator of the threshold parameter poses challenges for statistical inference due to its non-standard limiting distribution, which also presents challenges for bootstrap methods. To address this issue, we propose a novel...