期刊名称：Economics Discussion Papers / Department of Economics, College of Management and Economics, University of Guelph
出版年度：2008
卷号：2008
期号：01
出版社：University of Guelph
摘要：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 two-stage least
squares (C2SLS) estimator of the threshold parameter that is based on an inverse Mills ratio bias
correction. Our method also allows for the endogeneity of the slope variables. We show that our
estimator is consistent and investigate its performance using a Monte Carlo simulation that indicates
the applicability of the method in finite samples. We also illustrate its usefulness with an empirical
example from economic growth.
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