论文标题
在具有内源回归器的模型中测试阈值
Testing for a Threshold in Models with Endogenous Regressors
论文作者
论文摘要
我们通过模拟表明，在Caner和Hansen（2004）中提出的内源回归器模型中未知阈值的测试可以在小样品和中等大样本中显示出严重的尺寸畸变，与经验应用有关。我们提出了三个新的测试，以纠正这些尺寸扭曲。第一个测试基于GMM估计器。另外两个基于非常规2SLS估计器，这些估计量使用有关第一阶段的线性（或线性缺乏线性）的其他信息。就像Caner and Hansen（2004）中的测试一样，我们的测试是无关的，我们证明了它们的引导有效性。经验应用程序在Ramey and Zubairy（2018）中重新讨论了政府支出乘数是否更大的衰退，但使用未知阈值的测试。与Ramey和Zubairy（2018）一致，我们没有发现这些乘数在衰退中更大的证据。
We show by simulation that the test for an unknown threshold in models with endogenous regressors - proposed in Caner and Hansen (2004) - can exhibit severe size distortions both in small and in moderately large samples, pertinent to empirical applications. We propose three new tests that rectify these size distortions. The first test is based on GMM estimators. The other two are based on unconventional 2SLS estimators, that use additional information about the linearity (or lack of linearity) of the first stage. Just like the test in Caner and Hansen (2004), our tests are non-pivotal, and we prove their bootstrap validity. The empirical application revisits the question in Ramey and Zubairy (2018) whether government spending multipliers are larger in recessions, but using tests for an unknown threshold. Consistent with Ramey and Zubairy (2018), we do not find strong evidence that these multipliers are larger in recessions.
