Endogeneity in threshold nonlinearity tests

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

info:eu-repo/semantics/article

Fecha

2014-01

Registro en:

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

Autor

Dentler, Alexander

Montes Rojas, Gabriel Victorio

Olmo, Jose

Institución

Consejo Nacional de Investigaciones Científicas y Tecnológicas (Argentina)

Resumen

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.

Materias

ENDOGENEITY

THRESHOLD MODELS

WALD TESTS

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