{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,26]],"date-time":"2026-10-26T20:12:18Z","timestamp":1793045538950,"version":"4.5.0"},"reference-count":34,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2015,4,20]],"date-time":"2015-04-20T00:00:00Z","timestamp":1429488000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2016,8]]},"abstract":"<jats:p>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 a parsimonious way of modeling nonlinearities and has many potential applications in economics and finance. Our framework can be viewed as a generalization of the simple threshold regression framework of Hansen (2000, <jats:italic>Econometrica<\/jats:italic> 68, 575\u2013603) and Caner and Hansen (2004, <jats:italic>Econometric Theory<\/jats:italic> 20, 813\u2013843) to allow for the endogeneity of the threshold variable and regime-specific heteroskedasticity. Our estimation of the threshold parameter is based on a two-stage 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 confidence intervals. We also provide inference for the slope parameters based on a generalized method of moments. Finally, we investigate the performance of the asymptotic approximations using a Monte Carlo simulation, which shows the applicability of the method in finite samples.<\/jats:p>","DOI":"10.1017\/s0266466615000067","type":"journal-article","created":{"date-parts":[[2015,4,20]],"date-time":"2015-04-20T08:03:08Z","timestamp":1429516988000},"page":"827-860","source":"Crossref","is-referenced-by-count":85,"title":["STRUCTURAL THRESHOLD REGRESSION"],"prefix":"10.1017","volume":"32","author":[{"given":"Andros","family":"Kourtellos","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Thanasis","family":"Stengos","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Chih 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