Endogeneity in semiparametric threshold regression models with two threshold variables
研究了一个允许内生阈值变量和内生斜率回归元的半参数阈值回归模型，推导了弱依赖数据下估计量的一致性和渐近性质，并通过蒙特卡洛模拟和基于公共债务与外部债务的经济增长体制分类应用验证了模型。
This article considers a semiparametric threshold regression model with two threshold variables. The proposed model allows endogenous threshold variables and endogenous slope regressors. Under the diminishing threshold effects framework, we derive consistency and asymptotic results of our proposed estimator for weakly dependent data. We study the finite sample performance of our proposed estimator via small Monte Carlo simulations and apply our model to classify economic growth regimes based on both national public debt and national external debt.