A variable addition test for exogeneity in structural threshold models

DOI10.1016/J.ECONLET.2013.03.044MaRDI QIDQ2440139zbMATH OpenOpenAlexFDO

Authors Daniele Massacci

Publication date 27 March 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.03.044

zbMATH Keywords

endogeneitythreshold regression modelexogeneity testvariable addition test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistical methods; economic indices and measures (91B82)

Recommendations

• Testing for exogeneity in threshold models
• Endogeneity in threshold nonlinearity tests
• Endogeneity in semiparametric threshold regression
• Structural threshold regression
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL

Cites work

• scientific article; zbMATH DE number 3287335 (Why is no real title available?)
• A Non-Parametric Test of Exogeneity
• A simple test for linearity against exponential smooth transition models with endogenous variables
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Handbook of econometrics. Vol. 5
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
• Moment-based estimation of smooth transition regression models with endogenous variables
• Sample Splitting and Threshold Estimation
• Small sample properties of the conditional least squares estimator in SETAR models
• Testing for exogeneity in threshold models
• Threshold models in non-linear time series analysis

Cited in

(3)

• Specification and structural break tests for additive models with applications to realized variance data
• Endogeneity in threshold nonlinearity tests
• Testing for exogeneity in threshold models

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