文章基本信息

标题：Working paper no. 2136: Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier
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作者：Dimitris Christopoulos ; Peter McAdam ; Elias Tzavalis 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2018
出版社：European Central Bank
摘要：We suggest a new method dealing with the problem of endogeneity of thethreshold variable in single regression threshold models and seemingly unrelatedsystems of them based on copula theory. This theory enables us to relax the assumptionthat the threshold variable is normally distributed and to capture thedependence between the error term and the threshold variable in each regimeof the model independently of the marginal distribution of the threshold variable.This distribution can be estimated non-parametrically conditionally on thevalue of threshold parameter. To estimate the slope and threshold parametersof the model adjusted for the endogeneity of the threshold variable, we suggesta two-step concentrated least squares estimation method where the thresholdparameter is estimated based on a search procedure, in the first step. A MonteCarlo study indicates that the suggested method deals with the endogeneity problemof the threshold variable satisfactorily. As an empirical illustration, we estimatea threshold model of the foreign-trade multiplier conditional on the realexchange rate volatility regime. We suggest a bootstrap procedure to examine ifthere are significant differences in the foreign-trade multiplier effects across thetwo regimes of the model, under potential endogeneity of the threshold variable.
关键词：Threshold model; SUR systems; Copulas; Kourtellos et al.(2016);foreign trade multiplier.