Download or read book Threshold Regression with Endogeneity written by Ping Yu and published by . This book was released on 2014 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inference and Speci tion Testing in Threshold Regression with Endogeneity written by Ping Yu and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Threshold Regression with Endogeneity for Short Panels written by Tue Gorgens and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Endogeneity in Semiparametric Threshold Regression written by Andros Kourtellos and published by . This book was released on 2017 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate semiparametric threshold regression models with endogenous threshold variables based on a nonparametric control function approach. Using a series approximation we propose a two-step estimation method for the threshold parameter. For the regression coefficients, we consider least-squares estimation in the case of exogenous regressors and two-stage least-squares estimation in the case of endogenous regressors. We show that our estimators are consistent and derive their asymptotic distribution for weakly dependent data. Furthermore, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effect is zero or not. Finally, we assess the performance of our methods using a Monte Carlo simulation.
Download or read book Essays on Threshold Regression with Endogeneity written by 廖沁 and published by . This book was released on 2019 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Structural Threshold Regression written by Andros Kourtellos and published by . This book was released on 2016 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces the structural threshold regression model that allows for an endogenous threshold variable as well as for endogenous regressors. This model provides a parsimonious way of modeling nonlinearities and has many potential applications in economics and fiijnance. Our framework can be viewed as a generalization of the simple threshold regression framework of Hansen (2000) and Caner and Hansen (2004) to allow for the endogeneity of the threshold variable and regime speciጿic heteroskedasticity. Our estimation of the threshold parameter is based on a concentrated least squares method that involves an inverse Mills ratio bias correction term in each regime. We derive its asymptotic distribution and propose a method to construct bootstrap confidence intervals. We also provide inference for the slope parameters based on GMM. Finally, we investigate the performance of the asymptotic approximations and the bootstrap using a Monte Carlo simulation that indicates the applicability of the method in fiijnite samples.
Download or read book Dealing with Endogeneity in Threshold Models Using Copulas written by Dimitris Christopoulos and published by . This book was released on 2018 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Threshold Regression written by Chaoyi Chen and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays in the threshold regression model regarding both theory and application. Chapter 1 investigates the linear index threshold regression model with endogeneity. We propose a two-step GMM estimation method to estimate the model, which allows both the threshold variable and regressors to be endogenous. We show the consistency of the GMM estimator and derive the asymptotic distribution of the GMM estimator for weakly dependent data. We suggest a test of the exogeneity null hypothesis for both the threshold and the slope regressors. Monte Carlo simulations are used to assess the finite sample performance of our proposed estimator. Finally, we present an empirical application investigating the threshold effect of a linear index between external debt and public debt on economic growth for developing countries. In Chapter 2, we compare the finite sample performance of three non-parametric threshold estimators via the Monte Carlo method. Our results indicate that the finite sample performance of the three estimators is not robust to the position of the threshold level along the distribution of the threshold variable, especially when a structural change occurs at the tail part of the distribution. In Chapter 3, we examine the effect of the Exchange Rate Pass-Through (ERPT) on the "rockets and feathers" hypothesis using a panel of EU-28 countries. Allowing for the existence of an endogenous threshold variable, our empirical findings indicate that the threshold model is better suited to this analysis than the baseline linear adjustment model. This is the case since the latter restricts the threshold to be centered around zero and the dynamic response to cumulative shocks cannot be properly identified. The empirical findings reveal that the threshold variable expressed by the trade-weighted dollar exchange rate index is statistically significant only in the sample above the threshold (high regime). This means that for the net EU exporting countries, fluctuations in the real effective exchange rate of the US against its major EU trading partners does affect the level of pre-tax retail gasoline prices with the relevant elasticity exceeding unity (complete ERPT). Moreover, all the statistical tests reject the null hypothesis that there is no significant threshold and thus an asymmetric adjustment gasoline mechanism prevails.
Download or read book Threshold Endogeneity in Threshold VARs written by Dēmētrēs K. Christopulos and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Partially Linear Models written by Wolfgang Härdle and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last ten years, there has been increasing interest and activity in the general area of partially linear regression smoothing in statistics. Many methods and techniques have been proposed and studied. This monograph hopes to bring an up-to-date presentation of the state of the art of partially linear regression techniques. The emphasis is on methodologies rather than on the theory, with a particular focus on applications of partially linear regression techniques to various statistical problems. These problems include least squares regression, asymptotically efficient estimation, bootstrap resampling, censored data analysis, linear measurement error models, nonlinear measurement models, nonlinear and nonparametric time series models.
Download or read book The Oxford Handbook of Leadership and Organizations written by David Day and published by Oxford University Press. This book was released on 2014-05-20 with total page 913 pages. Available in PDF, EPUB and Kindle. Book excerpt: As the leadership field continues to evolve, there are many reasons to be optimistic about the various theoretical and empirical contributions in better understanding leadership from a scholarly and scientific perspective. The Oxford Handbook of Leadership and Organizations brings together a collection of comprehensive, state-of-the-science reviews and perspectives on the most pressing historical and contemporary leadership issues - with a particular focus on theory and research - and looks to the future of the field. It provides a broad picture of the leadership field as well as detailed reviews and perspectives within the respective areas. Each chapter, authored by leading international authorities in the various leadership sub-disciplines, explores the history and background of leadership in organizations, examines important research issues in leadership from both quantitative and qualitative perspectives, and forges new directions in leadership research, practice, and education.
Download or read book Threshold Effects in the Relationship Between Inflation and Growth written by Anna Miller and published by GRIN Verlag. This book was released on 2013-10-23 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2013 in the subject Business economics - Operations Research, grade: 73%, University of Nottingham, language: English, abstract: Up to the 1970s it was mostly observed that inflation does not have a significant effect on growth, or that the effect was even slightly positive (Sarel 1996). However, due to the following decades of high and persistent inflation in many countries1, the available data showed changes in the inflation-growth nexus. It was univocally confirmed that inflation has a negative impact on growth, and macroeconomic policies are aiming to spur growth by keeping inflation at low levels. This having said, intuitively the question arises, how low should the target inflation be? Or, which is the threshold level of inflation between a positive and negative impact on growth? Many authors in the 1990s attempted to solve this question, with fairly divers results. Sarel (1996) analysed a panel of 87 countries over the period 1970 to 1990 using OLS estimation. He finds a structural break at an average annual rate of inflation of 8%. Below this level, inflation has no significant effect on growth, but for inflation levels above 8%, growth is significantly and strongly negatively affected. Gosh and Phillips (1998) find a much lower threshold at 2.5%, and Christoffersen and Doyle (1998), applying Sarel’s methodology on transient countries between 1990-1996, obtain a threshold of 13%. Bruno and Easterly’s (1998) results are somewhat striking. Their analysis is based on a sample of 31 countries that experienced high-inflation episodes over the period 1961-1994, and results in the fact that inflation does not have a significant effect on growth for normal levels, however the relationship becomes negative with high-frequency data and highinflation observations of 40% or higher.Motivated by this variety of results, Khan and Senhadji re-examined this issue in their 2001 paper “Threshold Effects in the Relationship Between Inflation and Growth”. They contribute to existing work by extending and modifying their analysis compared to previous literature by, first, looking separately on developing and industrialized countries, and second, by applying new econometric methods, which include the non-linear least squares (NLLS) estimation combined with a hybrid function of inflation, where the threshold level is found with conditional least squares. Furthermore, Khan and Senhadji (2001) use the bootstrap method, proposed by Hansen (1999), in order to test for statistical significance of the threshold effect. Accordingly, their results differ in so far from previous work as the threshold...
Download or read book A Variable Addition Test for Exogeneity in Structural Threshold Models written by Daniele Massacci and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This papers proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.
Download or read book Using System GMM and Panel Threshold Regression to Explore the Relationship Between Foreign Aid and Economic Growth of Developing Countries written by Chala Abate and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This case study is based on research which included a panel of 44 developing countries around the world. The project examined the nature of the relationship between foreign aid and economic growth and the role that institutional quality and economic freedom play in shaping the relationship between the two. The project employed a system-generalized method of moments (GMM) and a panel threshold regression model. The 44 developing countries were selected based on the World Bank country classification as of 2019. System GMM was used because of its ability to account for the possible endogeneity problem and overcome the problem of weak instruments. The panel threshold regression model was used because it is a dynamic model, and it allows the threshold variables to be endogenous. The project results show that the relationship between foreign aid is not straight forward and is rather complicated. It is not aid per se, but the amount of aid, institutional quality, and economic freedom in the recipient country that determine the effectiveness of aid.
Download or read book Handbook of Market Research written by Christian Homburg and published by Springer. This book was released on 2021-12-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this handbook, internationally renowned scholars outline the current state-of-the-art of quantitative and qualitative market research. They discuss focal approaches to market research and guide students and practitioners in their real-life applications. Aspects covered include topics on data-related issues, methods, and applications. Data-related topics comprise chapters on experimental design, survey research methods, international market research, panel data fusion, and endogeneity. Method-oriented chapters look at a wide variety of data analysis methods relevant for market research, including chapters on regression, structural equation modeling (SEM), conjoint analysis, and text analysis. Application chapters focus on specific topics relevant for market research such as customer satisfaction, customer retention modeling, return on marketing, and return on price promotions. Each chapter is written by an expert in the field. The presentation of the material seeks to improve the intuitive and technical understanding of the methods covered.
Download or read book Exploring Okun s Law Asymmetry written by Dēmētrēs K. Christopulos and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a novel methodology, we offer new evidence that a threshold relationship exists for Okun's law. We use a logistic smoothed transition regression (LSTR) model where possible threshold endogeneity is addressed based on copula theory. We also suggest a new test of the linearity hypothesis against the LSTR model. A combination of structural and policy-related variables accounts for changes (rises) in the Okun's parameter in the US in recent decades. Accordingly, the unemployment gap is increasingly associated with a smaller output gap. Whilst the Great Recession accelerated that rise, the bulk of the change occurred beforehand.
Download or read book Threshold Crossing Models and Bounds on Treatment Effects written by Azeem M. Shaikh and published by . This book was released on 2005 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the evaluation of the average treatment effect of a binary endogenous regressor on a binary outcome when one imposes a threshold crossing model on both the endogenous regressor and the outcome variable but without imposing parametric functional form or distributional assumptions. Without parametric restrictions, the average effect of the binary endogenous variable is not generally point identified. This paper constructs sharp bounds on the average effect of the endogenous variable that exploit the structure of the threshold crossing models and any exclusion restrictions. We also develop methods for inference on the resulting bounds
