Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62796
Authors: 
Kapetanios, George
Year of Publication: 
2004
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 515
Abstract: 
Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods that take into account endogeneity but provided 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.
Subjects: 
Threshold models, Endogeneity, Bootstrap
JEL: 
C12
C15
C22
Document Type: 
Working Paper

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