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Testing for a Threshold in Models with Endogenous Regressors

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  • Rothfelder, Mario P.

    (Tilburg University, School of Economics and Management)

  • Boldea, Otilia

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Rothfelder, Mario P. & Boldea, Otilia, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 674deead-8826-450a-8f56-f, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:674deead-8826-450a-8f56-f02310ef4f87
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/88007857/2207.10076v1.pdf
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    References listed on IDEAS

    as
    1. Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
    2. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    3. Yoon J. Jo & Sarah Zubairy, 2021. "State dependent government spending multipliers: Downward nominal wage rigidity and sources of business cycle fluctuations," Working Papers 20210127-001, Texas A&M University, Department of Economics.
    4. Dimitris Christopoulos & Peter McAdam & Elias Tzavalis, 2021. "Dealing With Endogeneity in Threshold Models Using Copulas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 166-178, January.
    5. Bertille Antoine & Otilia, 2015. "Inference in linear models with structural changes and mixed identification strength," Discussion Papers dp15-05, Department of Economics, Simon Fraser University.
    6. Rother, Philipp & Cugnasca, Alessandro, 2015. "Fiscal multipliers during consolidation: evidence from the European Union," Working Paper Series 1863, European Central Bank.
    7. Valerie A. Ramey & Sarah Zubairy, 2018. "Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data," Journal of Political Economy, University of Chicago Press, vol. 126(2), pages 850-901.
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