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Cited by 777

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL

Caner, Mehmet, Hansen, Bruce E.·2004·Econometric Theory
DOI 10.1017/s0266466604205011
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Abstract

Threshold models (sample splitting models) have wide application in economics. Existing estimation methods are confined to regression models, which require that all right-hand-side variables are exogenous. This paper considers a model with endogenous variables but an exogenous threshold variable. We develop a two-stage least squares estimator of the threshold parameter and a generalized method of moments estimator of the slope parameters. We show that these estimators are consistent, and we derive the asymptotic distribution of the estimators. The threshold estimate has the same distribution as for the regression case (Hansen, 2000, Econometrica 68, 575–603), with a different scale. The slope parameter estimates are asymptotically normal with conventional covariance matrices. We investigate our distribution theory with a Monte Carlo simulation that indicates the applicability of the methods.We thank the two referees and co-editor for constructive comments. Hansen thanks the National Science Foundation for financial support. Caner thanks University of Pittsburgh Central Research Development Fund for financial support.

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Metadata

Authors
Caner, M., & Hansen, B. E.
Venue
Econometric Theory
Publisher
Cambridge University Press (CUP)
Published
2004-10
Volume
20
Issue
05
ISSN
  • 0266-4666 (ISSN-L)
  • 1469-4360
DOI
10.1017/s0266466604205011
OpenAlex
W2127882594
Cited by
777
References
1
FWCI
7.22
Type
journal article
Language
en
Open access
closed

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