Endogeneity in threshold nonlinearity tests

This article shows the conditions under which endogeneity of a regressor variable does not affect threshold nonlinearity tests. Inference on the values of the parameters derived from standard statistics is also appropriate. Simulation techniques are used to approximate the p-value of the test. Monte Carlo simulations confirm the validity of Wald tests in the presence of endogeneity in the regressors.Fil: Dentler, Alexander. University of Wisconsin; Estados UnidosFil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; Argentina. City University London; Reino UnidoFil: Olmo, Jose. University of Southampton; Reino Unid