English, Article, Journal or magazine article edition: Structural Threshold Regression Andros Kourtellos; Thanasis Stengos; Chih Ming Tan

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Bookmark: http://trove.nla.gov.au/version/25455
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Structural Threshold Regression
Author
  • Andros Kourtellos
  • Thanasis Stengos
  • Chih Ming Tan
Physical Description
  • preprint
Notes
  • This paper extends the simple threshold regression framework of Hansen (2000) and Caner and Hansen (2004) to allow for endogeneity of the threshold variable. We develop a concentrated least squares estimator of the threshold parameter based on an inverse Mills ratio bias correction. We show that our estimator is consistent and investigate its performance using a Monte Carlo simulation that indicates the applicability of the method in …nite samples Classification-JEL: C13, C51
  • RePEc:rim:rimwps:wp22_09
Language
  • English
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