STRUCTURAL THRESHOLD REGRESSION

DOI10.1017/S0266466615000067zbMath1442.62747MaRDI QIDQ2826005

Andros Kourtellos, Chih Ming Tan, Thanasis Stengos

Publication date: 14 October 2016

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (11)

Dynamic panels with threshold effect and endogeneity ⋮ ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION ⋮ What drives illicit financial flows? An empirical study of trade data discrepancies ⋮ Endogeneity in semiparametric threshold regression models with two threshold variables ⋮ Social threshold regression ⋮ The Non-linearity in the Relationship Between Human Capital and Growth ⋮ Multi-Threshold Structural Equation Model ⋮ A simple test for linearity against exponential smooth transition models with endogenous variables ⋮ Inconsistency of 2SLS estimators in threshold regression with endogeneity ⋮ Panel threshold regressions with latent group structures ⋮ Maximum likelihood estimation of dynamic panel threshold models

Cites Work

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

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