Panel Threshold Regression Models with Endogenous Threshold Variables
نویسندگان
چکیده
This paper extends the panel threshold regression of Hansen (1999) and Kourtellos, Stengos and Tan (2007) to allow for endogeneity of the threshold variable. We consider the static linear panels with fixed effect. The modified concentrated two-stage least square methods that are based on inverse Mills ratio bias correction terms are proposed to estimate threshold parameters. Our estimators are consistent even though individual effects have any correlation with regressors. Monte Carlo simulations are performed to investigate the finite sample properties of the proposed estimators. JEL Classifications : C13, C33, C51
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