Endogeneity in threshold nonlinearity tests. (English) Zbl 1462.62135
Summary: This article shows the conditions under which endogeneity of a regressor variable does not affect threshold nonlinearity tests. Inference on the values of the parameters derived from standard statistics is also appropriate. Simulation techniques are used to approximate the \(p\)-value of the test. Monte Carlo simulations confirm the validity of Wald tests in the presence of endogeneity in the regressors.
References:
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