A Variable Addition Test for Exogeneity in Structural Threshold Models
11 Pages Posted: 6 Nov 2012 Last revised: 19 Apr 2017
Date Written: March 11, 2013
This papers 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: threshold regression model, endogeneity, exogeneity test, variable addition test
JEL Classification: C12, C15, C22
Suggested Citation: Suggested Citation