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Full-Text Articles in Social and Behavioral Sciences
Threshold Regression With Endogeneity, Ping Yu, Peter C.B. Phillips
Threshold Regression With Endogeneity, Ping Yu, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper studies estimation and specification testing in threshold regression with endogeneity. Three key results differ from those in regular models. First, both the threshold point and the threshold effect parameters are shown to be identified without the need for instrumentation. Second, in partially linear threshold models, both parametric and nonparametric components rely on the same data, which prima facie suggests identification failure. But, as shown here, the discontinuity structure of the threshold itself supplies identifying information for the parametric coefficients without the need for extra randomness in the regressors. Third, instrumentation plays different roles in the estimation of the …
Additive Nonparametric Regression In The Presence Of Endogenous Regressors, Deniz Ozabaci, Daniel J. Henderson, Liangjun Su
Additive Nonparametric Regression In The Presence Of Endogenous Regressors, Deniz Ozabaci, Daniel J. Henderson, Liangjun Su
Research Collection School Of Economics
In this article we consider nonparametric estimation of a structural equation model under full additivity constraint. We propose estimators for both the conditional mean and gradient which are consistent, asymptotically normal, oracle efficient, and free from the curse of dimensionality. Monte Carlo simulations support the asymptotic developments. We employ a partially linear extension of our model to study the relationship between child care and cognitive outcomes. Some of our (average) results are consistent with the literature (e.g., negative returns to child care when mothers have higher levels of education). However, as our estimators allow for heterogeneity both across and within …