Estimation and Inference for Multi-Threshold Regression with Endogeneity
存在内生性的多门槛回归估计与推断
Heterogeneity and endogeneity become increasingly common in statistical modeling and econometric practice. Threshold regression provides a simple yet flexible modeling strategy to account for heterogeneity. This paper studies estimation and inference for multi-threshold regression with endogenous regressors. We exploit a novel two-stage estimation procedure based on instrumental variables, which first identifies a set of possible threshold locations using the group LASSO…