Artículo

Endogeneity in threshold nonlinearity tests

Dentler, Alexander; Montes Rojas, Gabriel VictorioIcon ; Olmo, Jose
Fecha de publicación: 01/2014
Editorial: Taylor & Francis
Revista: Communications In Statistics-theory And Methods
ISSN: 0361-0926
Idioma: Inglés
Tipo de recurso: Artículo publicado
Clasificación temática:

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.
Palabras clave: ENDOGENEITY , THRESHOLD MODELS , WALD TESTS
 
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info:eu-repo/semantics/openAccess Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Identificadores
URI: http://hdl.handle.net/11336/85995
URL: https://www.tandfonline.com/doi/abs/10.1080/03610926.2012.655878
DOI: https://doi.org/10.1080/03610926.2012.655878
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Citación
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
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