TESTING FOR EXOGENEITY IN THRESHOLD MODELS
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Publication:5187627
DOI10.1017/S0266466609090665zbMath1182.62038MaRDI QIDQ5187627
Publication date: 26 February 2010
Published in: Econometric Theory (Search for Journal in Brave)
62P20: Applications of statistics to economics
62F40: Bootstrap, jackknife and other resampling methods
62G09: Nonparametric statistical resampling methods
65C05: Monte Carlo methods
62F05: Asymptotic properties of parametric tests
Related Items
A variable addition test for exogeneity in structural threshold models, A simple test for linearity against exponential smooth transition models with endogenous variables
Cites Work
- Subsampling inference in threshold autoregressive models
- Bootstrapping regression models
- Invariance principles for mixing sequences of random variables
- Small sample properties of the conditional least squares estimator in SETAR models
- Large sample confidence regions based on subsamples under minimal assumptions
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Variance stabilization and the bootstrap
- Specification Tests in Econometrics
- The Stationary Bootstrap
- Sample Splitting and Threshold Estimation
- Endogeneity in Semiparametric Binary Response Models
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
