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Endogeneity in semiparametric threshold regression

Kourtellos, Andros; Stengos, Thanasēs; Sun, Yiguo - 2017

Persistent link: https://www.econbiz.de/10011779062

Endogeneity in semiparametric threshold regression

Kourtellos, Andros; Stengos, Thanasēs; Sun, Yiguo - In: Econometric theory 38 (2022) 3, pp. 562-595

Persistent link: https://www.econbiz.de/10013269974

Endogeneity in Semiparametric Threshold Regression

Kourtellos, Andros - 2017

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...

Persistent link: https://www.econbiz.de/10012942196

Data-driven bandwidth selection for nonstationary semiparametric models

Sun, Yiguo; Li, Qi - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 541-551

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Measuring correlations of integrated but not cointegrated variables : a semiparametric approach

Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267

Persistent link: https://www.econbiz.de/10009301926

Semiparametric estimation of fixed-effects panel data varying coefficient models

Sun, Yiguo; Carroll, Raymond J.; Li, Dingding - In: Nonparametric econometric methods, (pp. 101-129). 2010

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Volatility spillover effect : a semiparametric analysis of non-cointegrated process

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A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series

Sun, Yiguo; Cai, Zongwu; Li, Qi - In: Econometric theory 32 (2016) 4, pp. 988-1022

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Efficient estimation in varying coefficient panel data model with different smoothing variables and fixed effects

Yao, Feng; Lu, Qinling; Sun, Yiguo; Zhang, Junsen - In: Essays in honor of Subal Kumbhakar, (pp. 133-184). 2024

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Endogeneity in semiparametric threshold regression models with two threshold variables

Chen, Chaoyi; Stengos, Thanasēs; Sun, Yiguo - In: Econometric reviews 42 (2023) 9/10, pp. 758-779

Persistent link: https://www.econbiz.de/10014420356