Testing for exogeneity in threshold models

DOI10.1017/S0266466609090665MaRDI QIDQ5187627zbMATH OpenFDO

Authors George Kapetanios

Publication date 26 February 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466609090665

zbMATH Keywords

tables

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

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Cites work

• Bootstrapping regression models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• 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
• Invariance principles for mixing sequences of random variables
• Large sample confidence regions based on subsamples under minimal assumptions
• Sample Splitting and Threshold Estimation
• Small sample properties of the conditional least squares estimator in SETAR models
• Specification Tests in Econometrics
• Subsampling inference in threshold autoregressive models
• The Stationary Bootstrap
• Variance stabilization and the bootstrap

Cited in

(20)

• Testing for the exogeneity of real income in models of the poverty process. Evidence from post-independence India
• A simple test for exogeneity in probit, logit, and Poisson regression models
• Threshold regression with endogeneity
• The block bootstrap test of Hausman's exogeneity in the presence of serial correlation
• Testing exogeneity of multinomial regressors in count data models: does two-stage residual inclusion work?
• A variable addition test for exogeneity in structural threshold models
• A simple test for linearity against exponential smooth transition models with endogenous variables
• Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables
• Endogeneity in threshold nonlinearity tests
• Dynamic panels with threshold effect and endogeneity
• Testing exogeneity in overidentified models
• Simple tests for exogeneity of a binary explanatory variable in count data regression models
• scientific article; zbMATH DE number 4039095 (Why is no real title available?)
• Endogeneity in semiparametric threshold regression
• Testing for Threshold Effects in Regression Models
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
• Testing a conditional form of exogeneity
• Segment regression model average with multiple threshold variables and multiple structural breaks
• Threshold effect in varying coefficient models with unknown heteroskedasticity
• Testing exogeneity in a probit model

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