Details

Autor(en) / Beteiligte

• Dentler, Alexander
• Montes-Rojas, Gabriel
• Olmo, Jose

Titel

Endogeneity in Threshold Nonlinearity Tests

Ist Teil von

• Communications in statistics. Theory and methods, 2014-01, Vol.43 (1), p.105-114

Ort / Verlag

Philadelphia: Taylor & Francis Group

Erscheinungsjahr

2014

Quelle

Taylor & Francis Journals Auto-Holdings Collection

Beschreibungen/Notizen

• 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.