Endogeneity in threshold nonlinearity tests

Dentler, Alexander; Montes Rojas, Gabriel Victorio; Olmo, Jose

info:eu-repo/semantics/article

Date

2014-01

Registration in:

Dentler, Alexander; Montes Rojas, Gabriel Victorio; Olmo, Jose; Endogeneity in threshold nonlinearity tests; Taylor & Francis; Communications In Statistics-theory And Methods; 43; 1; 1-2014; 105-114

0361-0926

http://hdl.handle.net/11336/85995

CONICET Digital

CONICET

https://repositorioslatinoamericanos.uchile.cl/handle/2250/4315279

Author

Dentler, Alexander

Montes Rojas, Gabriel Victorio

Olmo, Jose

Institutions

Consejo Nacional de Investigaciones Científicas y Tecnológicas (Argentina)

Abstract

This article 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.

Subjects

ENDOGENEITY

THRESHOLD MODELS

WALD TESTS

Show full item record