Endogeneity in threshold nonlinearity tests

DOI10.1080/03610926.2012.655878MaRDI QIDQ2815345zbMATH OpenOpenAlexFDO

Authors Alexander Dentler, Gabriel 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

endogeneityWald teststhreshold models

Mathematics Subject Classification ID

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

Recommendations

• Testing for exogeneity in threshold models
• Endogeneity in semiparametric threshold regression
• A variable addition test for exogeneity in structural threshold models
• Structural threshold regression
• Consistency of the least squares estimator in threshold regression with endogeneity

Cites work

• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• 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
• Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity

Cited in

(9)

• Testing for causal effects in a generalized regression model with endogenous regressors
• Structural threshold regression
• Testing for exogeneity in threshold models
• Endogeneity in nonlinear regressions with integrated time series
• Consistency of the least squares estimator in threshold regression with endogeneity
• A variable addition test for exogeneity in structural threshold models
• Threshold regression with endogeneity
• Endogeneity in semiparametric threshold regression
• Graphical diagnostics of endogeneity

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