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Threshold Regression with Errors-in-Variables
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DOI：10.1080/07350015.2026.2669269.png)
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Abstract
En 中文
We propose a novel generalized method of moments (GMM) estimator for linear threshold regression models with a mismeasured regressor and an exogenous threshold variable. The estimator addresses a key challenge in empirical applications: identifying model parameters in the absence of valid external instruments for the mismeasured regressor. We establish the consistency and asymptotic normality of the proposed estimator and develop test statistics for detecting threshold effects. Monte Carlo simulations show strong finite-sample performance, and an empirical application to firm investment equations highlights the practical relevance of the method.
Keywords:
Cash flow
Errors-in-variables
GMM
Higher-order cumulants
Investment
Threshold
C13
C21
C24
G30
Journal
J
IF:
2.5
Papers:
119
Citations:
0
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