# Inference and Specification Testing in Threshold Regression with Endogeneity

@article{Yu2019InferenceAS, title={Inference and Specification Testing in Threshold Regression with Endogeneity}, author={Ping Yu and Qin Liao and Peter C. B. Phillips}, journal={Yale: Cowles Foundation Working Papers}, year={2019} }

We propose three new methods of inference for the threshold point in endogenous threshold regression and two specii¬ cation tests designed to assess the presence of endogeneity and threshold ei¬€ects without necessarily relying on instrumentation of the covariates. The i¬ rst inferential method is a parametric two-stage least squares method and is suitable when instruments are available. The second and third methods are based on smoothing the objective function of the integrated dii¬€erence…

## 7 Citations

### Testing for a Threshold in Models with Endogenous Regressors

- Economics, MathematicsSSRN Electronic Journal
- 2019

Using 2SLS estimation, we propose two tests for a threshold in models with endogenous regressors: a sup LR test and a sup Wald test. Here, the 2SLS estimation is not conventional because it uses…

### NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY

- Economics, MathematicsEconometric Theory
- 2023

This paper studies control function (CF) approaches in endogenous threshold regression where the threshold variable is allowed to be endogenous. We first use a simple example to show that the…

### Threshold Regression With a Threshold Boundary

- Mathematics, Computer ScienceJournal of Business & Economic Statistics
- 2020

A new algorithm to ease the computation of the threshold boundary is put forward, the asymptotics for the least squares estimator are developed, and a new score-type test is proposed to test for the existence of threshold effects.

### Threshold Regression with Endogeneity for Short Panels

- Economics, MathematicsEconometrics
- 2019

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated…

### Nonparametric Sample Splitting

- Mathematics, Economics
- 2019

This paper develops a threshold regression model where an unknown relationship between two variables nonparametrically determines the threshold. We allow the observations to be cross-sectionally…

### What Drives Illicit Financial Flows? An Empirical Study of Trade Data Discrepancies

- EconomicsOpen Economies Review
- 2022

### Threshold regression with nonparametric sample splitting

- Mathematics, EconomicsJournal of Econometrics
- 2022

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