Kourtellos, Andros; Stengos, Thanasis; Tan, Chih Ming - Department of Economics, Tufts University - 2008
This paper extends the simple threshold regression framework of Hansen (2000) and Caner and Hansen (2004) to allow for endogeneity of the threshold variable. We develop a concentrated least squares estimator of the threshold parameter based on an inverse Mills ratio bias correction. We show that...
