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Endogeneity in semiparametric threshold regression models with two threshold variables

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  • Chaoyi Chen
  • Thanasis Stengos
  • Yiguo Sun

Abstract

This article considers a semiparametric threshold regression model with two threshold variables. The proposed model allows endogenous threshold variables and endogenous slope regressors. Under the diminishing threshold effects framework, we derive consistency and asymptotic results of our proposed estimator for weakly dependent data. We study the finite sample performance of our proposed estimator via small Monte Carlo simulations and apply our model to classify economic growth regimes based on both national public debt and national external debt.

Suggested Citation

  • Chaoyi Chen & Thanasis Stengos & Yiguo Sun, 2023. "Endogeneity in semiparametric threshold regression models with two threshold variables," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 758-779, November.
    • Handle: RePEc:taf:emetrv:v:42:y:2023:i:9-10:p:758-779
    DOI: 10.1080/07474938.2023.2221558
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