Endogeneity in Threshold Nonlinearity Tests

DOI10.1080/03610926.2012.655878zbMath1462.62135OpenAlexW2074424365MaRDI QIDQ2815345

Alexander Dentler, Gabriel V. Montes-Rojas, Jose Olmo

Publication date: 28 June 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/348642/1/draftIVv6_revised.pdf

zbMATH Keywords

endogeneitythreshold modelsWald tests

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric tests (62F05)

Cites Work

• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity
• Inference in TAR Models
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Sample Splitting and Threshold Estimation
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL

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