This paper considers a semiparametric threshold regression model with two threshold variables,extending Chen et al. (2012) and Kourtellos et al. (2021). The proposed model allows the endogeneity for both threshold variables and the slope regressors. Under the diminishing thresholdeffects...

This paper introduces the structural threshold regression model that allows for an endogenous threshold variable as well as for endogenous regressors. This model provides a parsimonious way of modeling nonlinearities and has many potential applications in economics and fi nance. Our framework...