Consistency of the least squares estimator in threshold regression with endogeneity

被引：6

作者：

Yu, Ping ^{[1
]}

机构：

[1] Univ Hong Kong, Sch Econ & Finance, Hong Kong, Hong Kong, Peoples R China

来源：

ECONOMICS LETTERS | 2015年 / 131卷

关键词：

Threshold regression; Endogeneity; Least squares estimation; Consistency; MODEL; VARIABLES;

D O I：

10.1016/j.econlet.2015.03.035

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper shows that when the threshold variable is independent of other covariates, such as in the structural change model, the least squares estimator of the threshold point is consistent even if endogeneity is present. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：41 / 46

页数：6

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