Moment-based estimation of smooth transition regression models with endogenous variables

DOI10.1016/j.jeconom.2011.05.009zbMath1441.62591OpenAlexW2792664943MaRDI QIDQ738051

Michael McAleer, Waldyr Dutra Areosa, Marcelo C. Medeiros

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.05.009

zbMATH Keywords

endogeneitygeneralized method of momentsnonlinear modelsinflation targetingsmooth transitionnonlinear instrumental variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Asymptotic theory for regressions with smoothly changing parameters ⋮ Multi-Threshold Structural Equation Model ⋮ A variable addition test for exogeneity in structural threshold models ⋮ A simple test for linearity against exponential smooth transition models with endogenous variables ⋮ Editorial. Moment restriction-based econometric methods: an overview ⋮ Semiparametric transition models ⋮ GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE

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