Moment-based estimation of smooth transition regression models with endogenous variables

DOI10.1016/J.JECONOM.2011.05.009MaRDI QIDQ738051zbMATH OpenOpenAlexFDO

Authors Waldyr Dutra Areosa, Michael McAleer, Marcelo C. Medeiros

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.05.009

zbMATH Keywords

endogeneitygeneralized method of momentsnonlinear modelssmooth transitioninflation targetingnonlinear instrumental variables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(10)

• Semiparametric transition models
• A simple test for linearity against exponential smooth transition models with endogenous variables
• GMM estimation and uniform subvector inference with possible identification failure
• A variable addition test for exogeneity in structural threshold models
• Editorial. Moment restriction-based econometric methods: an overview
• Multi-Threshold Structural Equation Model
• Asymptotic theory for regressions with smoothly changing parameters
• scientific article; zbMATH DE number 2222630 (Why is no real title available?)
• Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables
• Smooth transition simultaneous equation models

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