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Endogeneity In Semiparametric Threshold Regression

Author

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  • Kourtellos, Andros
  • Stengos, Thanasis
  • Sun, Yiguo
Abstract
This paper estimates threshold regression models with an endogenous threshold variable using a nonparametric control function approach. Assuming diminishing threshold effects, we derive the consistency and limiting distribution of our proposed estimator constructed from the series approximation method for weakly dependent data. In addition, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effects exist. We assess the performance of our methods using Monte Carlo simulations.

Suggested Citation

  • Kourtellos, Andros & Stengos, Thanasis & Sun, Yiguo, 2022. "Endogeneity In Semiparametric Threshold Regression," Econometric Theory, Cambridge University Press, vol. 38(3), pages 562-595, June.
    • Handle: RePEc:cup:etheor:v:38:y:2022:i:3:p:562-595_5
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Chaoyi Chen & Thanasis Stengos, 2022. "Estimation and Inference for the Threshold Model with Hybrid Stochastic Local Unit Root Regressors," JRFM, MDPI, vol. 15(6), pages 1-15, May.
    2. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2018. "Re-examining the Asymmetric Gasoline Pricing Mechanism in EU: A Panel Threshold Analysis," MPRA Paper 89575, University Library of Munich, Germany.
    3. Kourtellos, Andros & Stengos, Thanasis & Sun, Yiguo, 2022. "Endogeneity In Semiparametric Threshold Regression," Econometric Theory, Cambridge University Press, vol. 38(3), pages 562-595, June.
    4. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2018. "On the Examination of Competition in the Petroleum Industry: A Pooled Panel Threshold Analysis," MPRA Paper 89671, University Library of Munich, Germany.
    5. Christopoulos, Dimitris & McAdam, Peter & Tzavalis, Elias, 2018. "Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier," Working Paper Series 2136, European Central Bank.
    6. Chaoyi Chen & Yiguo Sun, 2018. "Monte Carlo Comparison for Nonparametric Threshold Estimators," JRFM, MDPI, vol. 11(3), pages 1-15, August.
    7. Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017. "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers 2017-15, University of Miami, Department of Economics.
    8. Alogoskoufis, George & Malliaris, A.G. & Stengos, Thanasis, 2023. "The scope and methodology of economic and financial asymmetries," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    9. Konstantinidi, Antri & Kourtellos, Andros & Sun, Yiguo, 2023. "Social threshold regression," Journal of Econometrics, Elsevier, vol. 235(2), pages 2057-2081.
    10. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2019. "Can exchange rate pass-through explain the asymmetric gasoline puzzle? Evidence from a pooled panel threshold analysis of the EU," Energy Economics, Elsevier, vol. 81(C), pages 1-12.
    11. Martins, Luis F., 2021. "The US debt–growth nexus along the business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    12. Dimitris Christopoulos & Peter McAdam & Elias Tzavalis, 2023. "Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 123-158, February.

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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