Structural threshold regression

DOI10.1017/S0266466615000067zbMATH Open1442.62747MaRDI QIDQ2826005FDOQ2826005

Authors: Andros Kourtellos, Chih Ming Tan, Thanasis Stengos 

Publication date: 14 October 2016

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• Endogeneity in semiparametric threshold regression
• Threshold regression with endogeneity
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• Endogeneity in threshold nonlinearity tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Asymptotic Statistics
• Sample Selection Bias as a Specification Error
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Cube root asymptotics
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Sample Splitting and Threshold Estimation
• Subsampling inference in threshold autoregressive models
• Estimation and model selection based inference in single and multiple threshold models.
• Least Squares Model Averaging
• A smoothed least squares estimator for threshold regression models
• On the least squares estimation of multiple-regime threshold autoregressive models
• Inconsistency of 2SLS estimators in threshold regression with endogeneity
• Likelihood estimation and inference in threshold regression
• THE BOOTSTRAP IN THRESHOLD REGRESSION
• Inference regarding multiple structural changes in linear models with endogenous regressors
• The location of the maximum and asymmetric two-sided Brownian motion with triangular drift
• Trade as a threshold variable for multiple regimes

Cited In (22)

• Inconsistency of 2SLS estimators in threshold regression with endogeneity
• A simple test for linearity against exponential smooth transition models with endogenous variables
• Panel threshold regressions with latent group structures
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
• The Non-linearity in the Relationship Between Human Capital and Growth
• Multiple regimes in the preferences for redistribution
• Social threshold regression
• What drives illicit financial flows? An empirical study of trade data discrepancies
• Status Traps
• Dealing With Endogeneity in Threshold Models Using Copulas
• Multi-threshold proportional hazards model and subgroup identification
• Multi-Threshold Structural Equation Model
• Trade as a threshold variable for multiple regimes: reply
• Dynamic panels with threshold effect and endogeneity
• Endogeneity in semiparametric threshold regression models with two threshold variables
• Maximum likelihood estimation of dynamic panel threshold models
• Segment regression model average with multiple threshold variables and multiple structural breaks
• Smooth transition simultaneous equation models
• Testing for exogeneity in threshold models
• Testing for homogeneous thresholds in threshold regression models
• ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION
• Multithreshold change plane model: estimation theory and applications in subgroup identification

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