Testing for Threshold Effects in Regression Models

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Regression Kink With an Unknown Threshold (2017, background): “For the problem of testing for a threshold effect, relevant contributions include Chan (1990, 1991), Chan and Tong (1990), Hansen (1996), and Lee, Seo, and Shin (2011).”
Dynamic panels with threshold effect and endogeneity (2016, unknown): “The supremum type statistic is an application of the union-intersection principle commonly used in the literature, e.g. Hansen (1996), and Lee et al. (2011).”