Thanasis Stengos (University of Guelph)

This paper considers an endogenous kink threshold regression model with an unknown threshold value in a time series as well as a panel data framework, where both the threshold variable and regressors are allowed to be endogenous. We construct our estimators from a control function approach and derive the consistency and asymptotic distribution of our proposed estimators. Monte Carlo simulations are used to assess the finite sample performance of our proposed estimators. Finally, we apply our model to analyze the effects of COVID-19 cases on the US and Canadian labor markets.

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