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
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.