Mehmet Caner and Bruce E. Hansen
"Instrumental Variable Estimation of a Threshold Model"
Econometric Theory, 2004


Program and Data Files

This program replicates the empirical work reported in the above paper.

The program estimates a threshold model with endogenous variables, using a 2SLS estimator for the threshold and a GMM for the slope parameters



Gauss Program

Matlab Program

R Program

Link to Abstract and PDF File of Paper


Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111. Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.