This paper introduces the structural threshold regression (STR) model that allows for an
endogenous threshold variable as well as for endogenous regressors. This model provides …

The regression discontinuity design has become a common framework among applied
economists for measuring treatment effects. A key restriction of the existing literature is the …

This paper studies estimation in threshold regression with endogeneity in the regressors
and thresholding variable. Three key results differ from those in regular models. First, both …

This article studies computation, estimation, inference, and testing for linearity in threshold
regression with a threshold boundary. We first put forward a new algorithm to ease the …

This paper develops a general procedure to check the bootstrap validity in M-estimation. We
apply the procedure in discontinuous threshold regression to show the inconsistency of the …

This article develops a novel estimation framework for the multithreshold accelerated failure
time model, which has distinct linear forms within different subdomains. One major …

The asymptotic distribution of the least squares estimator in threshold regression is
expressed in terms of a compound Poisson process when the threshold effect is fixed and as …

This paper studies estimation and specification testing in threshold regression with
endogeneity. Three key results differ from those in regular models. First, both the threshold …

We propose three new methods of inference for the threshold point in endogenous threshold
regression and two specification tests designed to assess the presence of endogeneity and …

In this paper, we develop the asymptotic theory for threshold regression under
misspecification, which is especially useful in the regression tree analysis of machine …