Testing for a Threshold in Models with Endogenous Regressors

@article{Rothfelder2016TestingFA,
  title={Testing for a Threshold in Models with Endogenous Regressors},
  author={Mario Rothfelder and Otilia Boldea},
  journal={Econometrics: Econometric \& Statistical Methods - General eJournal},
  year={2016}
}
  • Mario RothfelderO. Boldea
  • Published 3 August 2016
  • Economics, Mathematics
  • Econometrics: Econometric & Statistical Methods - General eJournal
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 additional information about the first-stage being linear or not. Because of this additional information, our tests can be more accurate than the threshold test in Caner and Hansen (2004) which is based on conventional GMM estimation. We derive the asymptotic distributions of the two tests for a linear… 

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