Likelihood estimation and inference in threshold regression

DOI10.1016/j.jeconom.2011.12.002zbMath1441.62910OpenAlexW2081058124MaRDI QIDQ738152

Ping Yu

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.12.002

zbMATH Keywords

Bayesboundarycompound Poisson processWiener-Hopf equationstructural changethreshold regressionefficiency boundscredible setlocal asymptotic minimaxmiddle-point MLEnonregular models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (26)

Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion ⋮ ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS ⋮ Entropy inference in smooth transition kink regression ⋮ THE BOOTSTRAP IN THRESHOLD REGRESSION ⋮ ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION ⋮ Quantile Regression on Quantile Ranges - A Threshold Approach ⋮ Endogeneity in semiparametric threshold regression models with two threshold variables ⋮ Threshold regression with nonparametric sample splitting ⋮ Single-index Thresholding in Quantile Regression ⋮ Regularized Bayesian estimation of generalized threshold regression models ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ On a periodic negative binomial SETINAR model ⋮ Threshold regression with endogeneity ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks ⋮ A nonlinear panel data model of cross-sectional dependence ⋮ Adaptive estimation of the threshold point in threshold regression ⋮ Regression discontinuity designs with unknown discontinuity points: testing and estimation ⋮ Generalized threshold latent variable model ⋮ An integer-valued threshold autoregressive process based on negative binomial thinning ⋮ Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts ⋮ Unnamed Item ⋮ Unnamed Item ⋮ STRUCTURAL THRESHOLD REGRESSION ⋮ First-order random coefficients integer-valued threshold autoregressive processes ⋮ Common threshold in quantile regressions with an application to pricing for reputation ⋮ Understanding Estimators of Treatment Effects in Regression Discontinuity Designs

Cites Work

• Unnamed Item
• Unnamed Item
• Subsampling inference in threshold autoregressive models
• Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
• On parameter estimation of threshold autoregressive models
• Stopping times and tightness
• Subsampling
• Diagnosing bootstrap success
• Slice sampling. (With discussions and rejoinder)
• Income inequality and economic development: Evidence from the threshold regression model
• On the estimation of jump points in smooth curves
• Large sample confidence regions based on subsamples under minimal assumptions
• Weak convergence and empirical processes. With applications to statistics
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Simulation and the Asymptotics of Optimization Estimators
• Asymptotic Statistics
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Sample Splitting and Threshold Estimation
• A Wiener-Hopf integral equation arising in some inference and queueing problems
• Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support
• Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
• Inference about the change-point in a sequence of random variables
• Convergence of stochastic processes
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: Likelihood estimation and inference in threshold regression