Endogeneity in Semiparametric Threshold Regression Model With Two Threshold Variables

This paper considers a semiparametric threshold regression model with two threshold variables,extending Chen et al. (2012) and Kourtellos et al. (2021). The proposed model allows the endogeneity for both threshold variables and the slope regressors. Under the diminishing thresholdeffects assumption, we show the consistency and derive the asymptotic results of our proposedestimator for weakly dependent data. We study the finite sample performance of our proposedestimator via small Monte Carlo simulations and we apply our model to classify economic growthregimes based on both national public debt and national external debt