Testing for a Threshold in Models with Endogenous Regressors
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
- Linton, Oliver & Seo, Myunghwan, 2005. "A smoothed least squares estimator for threshold regression models," LSE Research Online Documents on Economics 4434, London School of Economics and Political Science, LSE Library.
- Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012.
"Inference regarding multiple structural changes in linear models with endogenous regressors,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
- Alastair R. Hall & Sanggohn Han & Otilia Boldea, 2009. "Inference regarding multiple structural changes in linear models with endogenous regressors," Centre for Growth and Business Cycle Research Discussion Paper Series 125, Economics, The University of Manchester.
- Caner, Mehmet & Hansen, Bruce E., 2004. "Instrumental Variable Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 20(5), pages 813-843, October.
- Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R., 2019.
"Bootstrapping structural change tests,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 359-397.
- Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2017. "Bootstrapping Structural Change Tests," Economics Discussion Paper Series 1704, Economics, The University of Manchester.
- Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2018. "Bootstrapping Structural Change Tests," Papers 1811.04125, arXiv.org.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2010.
"Growth in a Time of Debt,"
American Economic Review, American Economic Association, vol. 100(2), pages 573-578, May.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2010. "Growth in a Time of Debt," NBER Working Papers 15639, National Bureau of Economic Research, Inc.
- Reinhart, Carmen M. & Rogoff, Kenneth S., 2010. "Growth in a Time of Debt," Scholarly Articles 11129154, Harvard University Department of Economics.
- Rogoff, Kenneth & Reinhart, Carmen, 2010. "Growth in a Time of Debt," CEPR Discussion Papers 7661, C.E.P.R. Discussion Papers.
- Robert E. Hall, 2009.
"By How Much Does GDP Rise If the Government Buys More Output?,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(2 (Fall)), pages 183-249.
- Robert E. Hall, 2009. "By How Much Does GDP Rise if the Government Buys More Output?," NBER Working Papers 15496, National Bureau of Economic Research, Inc.
- Emi Nakamura & J?n Steinsson, 2014.
"Fiscal Stimulus in a Monetary Union: Evidence from US Regions,"
American Economic Review, American Economic Association, vol. 104(3), pages 753-792, March.
- Emi Nakamura & Jón Steinsson, 2011. "Fiscal Stimulus in a Monetary Union: Evidence from U.S. Regions," NBER Working Papers 17391, National Bureau of Economic Research, Inc.
- Lawrence Christiano & Martin Eichenbaum & Sergio Rebelo, 2011.
"When Is the Government Spending Multiplier Large?,"
Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 78-121.
- Lawrence Christiano & Martin Eichenbaum & Sergio Rebelo, 2009. "When is the government spending multiplier large?," NBER Working Papers 15394, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Martin S. Eichenbaum & Sergio Rebelo, 2010. "When is the government spending multiplier large?," FRB Atlanta CQER Working Paper 2010-01, Federal Reserve Bank of Atlanta.
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Davidson, Russell & MacKinnon, James G, 1998.
"Graphical Methods for Investigating the Size and Power of Hypothesis Tests,"
The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
- Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Paper 903, Economics Department, Queen's University.
- Yu, Ping & Phillips, Peter C.B., 2018.
"Threshold regression with endogeneity,"
Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.
- Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
- Gonzalo, Jesus & Wolf, Michael, 2005.
"Subsampling inference in threshold autoregressive models,"
Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
- Jesús Gonzalo & Michael Wolf, 2001. "Subsampling inference in threshold autoregressive models," Economics Working Papers 573, Department of Economics and Business, Universitat Pompeu Fabra.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2014.
"Identification Using Stability Restrictions,"
Econometrica, Econometric Society, vol. 82(5), pages 1799-1851, September.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2014. "Identification Using Stability Restrictions," Econometrica, Econometric Society, vol. 82, pages 1799-1851, September.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2011. "Identification Using Stability Restrictions," Working Papers 1116, Tulane University, Department of Economics.
- Aart Kraay, 2012.
"How large is the Government Spending Multiplier? Evidence from World Bank Lending,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(2), pages 829-887.
- Kraay, Aart, 2010. "How large is the government spending multiplier ? evidence from World Bank lending," Policy Research Working Paper Series 5500, The World Bank.
- Mehmet Caner & Bruce E. Hansen, 2001.
"Threshold Autoregression with a Unit Root,"
Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
- Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
- Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
- Sokbae (Simon) Lee & Hyunmin Park & Myung Hwan Seo & Youngki Shin, 2014.
"A contribution to the Reinhart and Rogoff debate: not 90 percent but maybe 30 percent,"
CeMMAP working papers
CWP39/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sokbae (Simon) Lee & Hyunmin Park & Myung Hwan Seo & Youngki Shin, 2014. "A contribution to the Reinhart and Rogoff debate: not 90 percent but maybe 30 percent," CeMMAP working papers 39/14, Institute for Fiscal Studies.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
- Lee, Sokbae & Seo, Myung Hwan & Shin, Youngki, 2011.
"Testing for Threshold Effects in Regression Models,"
Journal of the American Statistical Association, American Statistical Association, vol. 106(493), pages 220-231.
- Sokbae (Simon) Lee & Myung Hwan Seo & Youngki Shin, 2010. "Testing for threshold effects in regression models," CeMMAP working papers CWP36/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Rothfelder, Mario & Boldea, Otilia, 2016.
"Testing for a Threshold in Models with Endogenous Regressors,"
Discussion Paper
2016-029, Tilburg University, Center for Economic Research.
- Mario P. Rothfelder & Otilia Boldea, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Papers 2207.10076, arXiv.org.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2019-030, Tilburg University, Center for Economic Research.
- 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.
- Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rothfelder, Mario & Boldea, Otilia, 2016.
"Testing for a Threshold in Models with Endogenous Regressors,"
Discussion Paper
2016-029, Tilburg University, Center for Economic Research.
- Mario P. Rothfelder & Otilia Boldea, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Papers 2207.10076, arXiv.org.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2019-030, Tilburg University, Center for Economic Research.
- Rothfelder, Mario & Boldea, Otilia, 2016.
"Testing for a Threshold in Models with Endogenous Regressors,"
Discussion Paper
2016-029, Tilburg University, Center for Economic Research.
- Mario P. Rothfelder & Otilia Boldea, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Papers 2207.10076, arXiv.org.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2019-030, Tilburg University, Center for Economic Research.
- 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.
- Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
- Yoonseok Lee & Yulong Wang, 2020. "Inference in Threshold Models," Center for Policy Research Working Papers 223, Center for Policy Research, Maxwell School, Syracuse University.
- Yu, Ping & Phillips, Peter C.B., 2018.
"Threshold regression with endogeneity,"
Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.
- Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
- Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2013.
"Estimation and inference in threshold type regime switching models,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205,
Edward Elgar Publishing.
- Pitarakis, Jean-Yves, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao, 2017. "Quantile Regression on Quantile Ranges – A Threshold Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 99-119, January.
- Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R., 2019.
"Bootstrapping structural change tests,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 359-397.
- Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2017. "Bootstrapping Structural Change Tests," Economics Discussion Paper Series 1704, Economics, The University of Manchester.
- Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2018. "Bootstrapping Structural Change Tests," Papers 1811.04125, arXiv.org.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," Discussion Paper Series In Economics And Econometrics 0916, Economics Division, School of Social Sciences, University of Southampton.
- Lee, Yoonseok & Wang, Yulong, 2023.
"Threshold regression with nonparametric sample splitting,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 816-842.
- Yoonseok Lee & Yulong Wang, 2019. "Threshold Regression with Nonparametric Sample Splitting," Papers 1905.13140, arXiv.org, revised Jan 2021.
- 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).
- Jesús Gonzalo & Jean-Yves Pitarakis, 2011.
"Regime-Specific Predictability in Predictive Regressions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
- Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," UC3M Working papers. Economics we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019.
"Robust inference for threshold regression models,"
Journal of Econometrics, Elsevier, vol. 210(2), pages 291-309.
- Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019. "Robust inference for threshold regression models," LSE Research Online Documents on Economics 100333, London School of Economics and Political Science, LSE Library.
- Yan Sun & Wei Huang, 2024. "Estimation and testing of kink regression model with endogenous regressors," Computational Statistics, Springer, vol. 39(6), pages 3115-3135, September.
- Chen, Haiqiang, 2015.
"Robust Estimation And Inference For Threshold Models With Integrated Regressors,"
Econometric Theory, Cambridge University Press, vol. 31(4), pages 778-810, August.
- Haiqiang Chen, "undated". "Robust Estimation and Inference for Threshold Models with Integrated Regressors," Working Papers 2013-12-02, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Chen, Haiqiang, 2013. "Robust estimation and inference for threshold models with integrated regressors," SFB 649 Discussion Papers 2013-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hasanov, Fakhri J. & Aliyev, Ruslan & Taskin, Dilvin & Suleymanov, Elchin, 2023. "Oil rents and non-oil economic growth in CIS oil exporters. The role of financial development," Resources Policy, Elsevier, vol. 82(C).
- Li, Dong & Tong, Howell, 2016. "Nested sub-sample search algorithm for estimation of threshold models," LSE Research Online Documents on Economics 68880, London School of Economics and Political Science, LSE Library.
- 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.
- Javier Hidalgo & Jungyoon Lee & Myung Hwan Seo, 2017. "Robust Inference and Testing of Continuity in Threshold Regression Models," STICERD - Econometrics Paper Series 590, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:40ca581a-e228-49ae-911f-ea707ff4209c. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.