This paper estimates threshold regression models with an endogenous threshold variable using a nonparametric control function approach. Assuming diminishing threshold effects, we derive the consistency and limiting distribution of our proposed estimator constructed from the series approximation method for weakly dependent data. In addition, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effects exist. We assess the performance of our methods using Monte Carlo simulations.

中文翻译：

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半参数阈值回归的内生性

本文使用非参数控制函数方法估计具有内生阈值变量的阈值回归模型。假设阈值效应递减，我们推导出我们提出的估计量的一致性和限制分布，该估计量由弱相关数据的系列近似方法构建。此外，我们提出了阈值变量内生性检验，无论是否存在阈值效应，该检验均有效。我们使用蒙特卡罗模拟评估我们的方法的性能。