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A variable addition test for exogeneity in structural threshold models

Author:
Massacci, Daniele
Source:
Economics letters 2013 v.120 no.1 pp. 5-9
ISSN:
0165-1765
Subject:
Monte Carlo method, economics, regression analysis, threshold models
Abstract:
This paper proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.
Agid:
5997758