Endogeneity in semiparametric threshold regression models with two threshold variables

DOI10.1080/07474938.2023.2221558OpenAlexW4381855127MaRDI QIDQ6082961

Chaoyi Chen, Yiguo Sun, Thanasis Stengos

Publication date: 7 December 2023

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

Full work available at URL: https://figshare.com/articles/journal_contribution/Endogeneity_in_semiparametric_threshold_regression_models_with_two_threshold_variables/23560655

zbMATH Keywords

public debtthreshold regressionseries estimationcontrol function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Subsampling inference in threshold autoregressive models
• A smoothed least squares estimator for threshold regression models
• Dynamic panels with threshold effect and endogeneity
• Adaptive estimation of the threshold point in threshold regression
• Likelihood estimation and inference in threshold regression
• The use of polynomial splines and their tensor products in multivariate function estimation. (With discussion)
• Threshold regression with endogeneity
• Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
• NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
• STRUCTURAL THRESHOLD REGRESSION
• Structural Nonparametric Cointegrating Regression
• Sample Splitting and Threshold Estimation
• Non‐parametric regression under location shifts
• Theory and Applications of TAR Model with Two Threshold Variables
• ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
• Smooth coefficient models with endogenous environmental variables

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