Article ID Journal Published Year Pages File Type
5059616 Economics Letters 2013 5 Pages PDF
Abstract
This paper proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A variable addition test for exogeneity in structural threshold models
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