Endogeneity in threshold nonlinearity tests

Autores
Dentler, Alexander; Montes Rojas, Gabriel Victorio; Olmo, Jose
Año de publicación
2014
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Dentler, Alexander. University of Wisconsin; Estados Unidos
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; Argentina. City University London; Reino Unido
Fil: Olmo, Jose. University of Southampton; Reino Unido
Materia
ENDOGENEITY
THRESHOLD MODELS
WALD TESTS
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/85995
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/85995
network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Endogeneity in threshold nonlinearity testsDentler, AlexanderMontes Rojas, Gabriel VictorioOlmo, JoseENDOGENEITYTHRESHOLD MODELSWALD TESTShttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1This 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.Fil: Dentler, Alexander. University of Wisconsin; Estados UnidosFil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; Argentina. City University London; Reino UnidoFil: Olmo, Jose. University of Southampton; Reino UnidoTaylor & Francis2014-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/85995Dentler, Alexander; Montes Rojas, Gabriel Victorio; Olmo, Jose; Endogeneity in threshold nonlinearity tests; Taylor & Francis; Communications In Statistics-theory And Methods; 43; 1; 1-2014; 105-1140361-0926CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://www.tandfonline.com/doi/abs/10.1080/03610926.2012.655878info:eu-repo/semantics/altIdentifier/doi/10.1080/03610926.2012.655878info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T09:35:33Zoai:ri.conicet.gov.ar:11336/85995instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 09:35:34.097CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Endogeneity in threshold nonlinearity tests
title Endogeneity in threshold nonlinearity tests
spellingShingle Endogeneity in threshold nonlinearity tests
Dentler, Alexander
ENDOGENEITY
THRESHOLD MODELS
WALD TESTS
title_short Endogeneity in threshold nonlinearity tests
title_full Endogeneity in threshold nonlinearity tests
title_fullStr Endogeneity in threshold nonlinearity tests
title_full_unstemmed Endogeneity in threshold nonlinearity tests
title_sort Endogeneity in threshold nonlinearity tests
dc.creator.none.fl_str_mv Dentler, Alexander
Montes Rojas, Gabriel Victorio
Olmo, Jose
author Dentler, Alexander
author_facet Dentler, Alexander
Montes Rojas, Gabriel Victorio
Olmo, Jose
author_role author
author2 Montes Rojas, Gabriel Victorio
Olmo, Jose
author2_role author
author
dc.subject.none.fl_str_mv ENDOGENEITY
THRESHOLD MODELS
WALD TESTS
topic ENDOGENEITY
THRESHOLD MODELS
WALD TESTS
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv 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.
Fil: Dentler, Alexander. University of Wisconsin; Estados Unidos
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; Argentina. City University London; Reino Unido
Fil: Olmo, Jose. University of Southampton; Reino Unido
description 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.
publishDate 2014
dc.date.none.fl_str_mv 2014-01
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/85995
Dentler, Alexander; Montes Rojas, Gabriel Victorio; Olmo, Jose; Endogeneity in threshold nonlinearity tests; Taylor & Francis; Communications In Statistics-theory And Methods; 43; 1; 1-2014; 105-114
0361-0926
CONICET Digital
CONICET
url http://hdl.handle.net/11336/85995
identifier_str_mv Dentler, Alexander; Montes Rojas, Gabriel Victorio; Olmo, Jose; Endogeneity in threshold nonlinearity tests; Taylor & Francis; Communications In Statistics-theory And Methods; 43; 1; 1-2014; 105-114
0361-0926
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://www.tandfonline.com/doi/abs/10.1080/03610926.2012.655878
info:eu-repo/semantics/altIdentifier/doi/10.1080/03610926.2012.655878
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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