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)
Applications of statistics to economics (62P20) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)
Related Items (7)
Dynamic panels with threshold effect and endogeneity ⋮ ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION ⋮ Threshold regression with endogeneity ⋮ A variable addition test for exogeneity in structural threshold models ⋮ A simple test for linearity against exponential smooth transition models with endogenous variables ⋮ Segment regression model average with multiple threshold variables and multiple structural breaks ⋮ Testing exogeneity of multinomial regressors in count data models: does two-stage residual inclusion work?
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
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