dc.contributor.author | Kourtellos, Andros | en |
dc.contributor.author | Stengos, Thanasis | en |
dc.contributor.author | Tan, Chih Ming | en |
dc.creator | Kourtellos, Andros | en |
dc.creator | Stengos, Thanasis | en |
dc.creator | Tan, Chih Ming | en |
dc.date.accessioned | 2019-05-03T05:22:24Z | |
dc.date.available | 2019-05-03T05:22:24Z | |
dc.date.issued | 2016 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/47515 | |
dc.description.abstract | This paper introduces the structural threshold regression (STR) model that allows for an endogenous threshold variable as well as for endogenous regressors. This model provides a parsimonious way of modeling nonlinearities and has many potential applications in economics and finance. Our framework can be viewed as a generalization of the simple threshold regression framework of Hansen (2000, Econometrica 68, 575-603) and Caner and Hansen (2004, Econometric Theory 20, 813-843) to allow for the endogeneity of the threshold variable and regime-specific heteroskedasticity. Our estimation of the threshold parameter is based on a two-stage concentrated least squares method that involves an inverse Mills ratio bias correction term in each regime. We derive its asymptotic distribution and propose a method to construct confidence intervals. We also provide inference for the slope parameters based on a generalized method of moments. Finally, we investigate the performance of the asymptotic approximations using a Monte Carlo simulation, which shows the applicability of the method in finite samples. Copyright © 2015 Cambridge University Press. | en |
dc.language.iso | eng | en |
dc.source | Econometric Theory | en |
dc.title | Structural threshold regression | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1017/S0266466615000067 | |
dc.description.volume | 32 | |
dc.description.startingpage | 827 | |
dc.description.endingpage | 860 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.contributor.orcid | Kourtellos, Andros [0000-0001-9662-0420] | |
dc.description.totalnumpages | 827-860 | |
dc.gnosis.orcid | 0000-0001-9662-0420 | |