TESTING FOR EXOGENEITY IN THRESHOLD MODELS
针对非线性阈值模型，提出新的Hausman型外生性检验，并通过蒙特卡洛模拟和自助法改进检验性能，帮助研究者判断变量是否外生。
Most work in the area of nonlinear econometric modeling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2004) and Psaradakis, Sola, and Spagnolo (2005) has considered the possibility of estimating nonlinear models by methods that take into account endogeneity but provide no tests for exogeneity. This paper examines the problem of testing for exogeneity in nonlinear threshold models. We suggest new Hausman-type tests and discuss the use of the bootstrap to improve the properties of asymptotic tests. The theoretical properties of the tests are discussed and an extensive Monte Carlo study is undertaken.