The University of Southampton
×
Filter your search:
University of Southampton Institutional Repository

Endogeneity in threshold nonlinearity tests

Endogeneity in threshold nonlinearity tests
Endogeneity in threshold nonlinearity tests
This paper shows the conditions under which endogeneity of a regressor variable does not affect threshold nonlinearity tests. Inference on the values of the parameters derived from standard statistics is also appropriate. Simulation techniques are used to approximate the p-value of the test. Monte Carlo simulations confirm the validity of Wald tests in the presence of endogeneity in the regressors.
endogeneity, threshold models, wald tests
0361-0926
105-114
Dentler, A.
11cbfea9-e612-4853-81b5-da76369ba579
Montes-Rojas, G.
d139fc6a-1f73-4db6-bb54-a38d14a7b030
Olmo, J.
706f68c8-f991-4959-8245-6657a591056e
Dentler, A.
11cbfea9-e612-4853-81b5-da76369ba579
Montes-Rojas, G.
d139fc6a-1f73-4db6-bb54-a38d14a7b030
Olmo, J.
706f68c8-f991-4959-8245-6657a591056e

Dentler, A., Montes-Rojas, G. and Olmo, J. (2014) Endogeneity in threshold nonlinearity tests. Communications in Statistics: Theory and Methods, 43 (1), 105-114. (doi:10.1080/03610926.2012.655878). (In Press)

Record type: Article

Abstract

This paper shows the conditions under which endogeneity of a regressor variable does not affect threshold nonlinearity tests. Inference on the values of the parameters derived from standard statistics is also appropriate. Simulation techniques are used to approximate the p-value of the test. Monte Carlo simulations confirm the validity of Wald tests in the presence of endogeneity in the regressors.

Text
draftIVv6_revised.pdf - Other
Download (272kB)

More information

Accepted/In Press date: 2014
Keywords: endogeneity, threshold models, wald tests
Organisations: Economics

Identifiers

Local EPrints ID: 348642
URI: http://eprints.soton.ac.uk/id/eprint/348642
DOI: doi:10.1080/03610926.2012.655878
ISSN: 0361-0926
PURE UUID: 24724710-0f68-4579-942d-582e37dca4dd
ORCID for J. Olmo: ORCID iD orcid.org/0000-0002-0437-7812

Catalogue record

Date deposited: 18 Feb 2013 10:21
Last modified: 15 Mar 2024 03:46

Export record

Altmetrics

Contributors

Author: A. Dentler
Author: G. Montes-Rojas
Author: J. Olmo ORCID iD

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Library staff additional information
Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×