Economics Seminar: An Asymptotically Smoothed Two-Stage Nonlinear Least Squares Estimator for Threshold Regression Models with Endogenous Variables

 
When?
Wednesday 26 January 2011, 16:00 to 17:00
Where?
04AD00
Open to:
Public, Staff, Students

Dr Danielle Massacci (University of Surrey)

"An Asymptotically Smoothed Two-Stage Nonlinear Least Squares Estimator for Threshold Regression Models with Endogenous Variables"

Abstract

This paper proposes a two-stage estimator for the parameters of threshold regression models with endogenous right-hand-side variables (including the threshold variable). The objective function is constructed in terms of squared deviations of the dependent variable from its expected value conditional upon the available instruments, and the bias correcting terms are estimated by their sample counterparts. The proposed estimator is shown to be consistent. Under mild regularity conditions on the distribution of the error terms, the original threshold effect is transformed into an asymptotically smooth transition effect: in this way, a √T asymptotically normally distributed estimator for all model's parameters (including the threshold parameter) is obtained. An extensive Monte Carlo study is undertaken to support the validity of the proposed estimator. The issue of statistical inference is also addressed, and a solution based on the distance metric statistic is discussed.

Date:
Wednesday 26 January 2011
Time:

16:00 to 17:00


Where?
04AD00
Open to:
Public, Staff, Students

Page Owner: il0001
Page Created: Thursday 13 January 2011 15:22:54 by il0001
Last Modified: Wednesday 26 January 2011 12:30:34 by pr0004
Expiry Date: Friday 13 April 2012 15:16:41
Assembly date: Tue Mar 26 17:57:27 GMT 2013
Content ID: 45165
Revision: 2
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