期刊名称：Economics Discussion Papers / Department of Economics, College of Management and Economics, University of Guelph
出版年度：2009
卷号：2009
期号：01
出版社：University of Guelph
摘要：This paper extends the simple threshold regression framework of Hansen (2000) and Caner and Hansen
(2004) to allow for endogeneity of the threshold variable. We develop a concentrated least squares
estimator of the threshold parameter based on an inverse Mills ratio bias correction. We show that our
estimator is consistent and investigate its performance using a Monte Carlo simulation that indicates
the applicability of the method in Önite samples
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