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

Abstract

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

Massacci, Daniele, A Variable Addition Test for Exogeneity in Structural Threshold Models (March 11, 2013). Available at SSRN: https://ssrn.com/abstract=2171188 or http://dx.doi.org/10.2139/ssrn.2171188

Daniele Massacci (Contact Author)

King's College London ( email )

United Kingdom

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