INVESTIGADORES
MONTES ROJAS Gabriel Victorio
artículos
Título:
Endogeneity in threshold nonlinearity tests
Autor/es:
DENTLER, ALEXANDER; MONTES ROJAS, GABRIEL VICTORIO; OLMO, JOSE
Revista:
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
Editorial:
TAYLOR & FRANCIS INC
Referencias:
Lugar: Londres; Año: 2014 vol. 43 p. 105 - 105
ISSN:
0361-0926
Resumen:
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.