Nonparametric regression with multiple thresholds: estimation and inference

DOI10.1016/J.JECONOM.2018.06.011MaRDI QIDQ1792458zbMATH OpenOpenAlexWikidataFDO

Authors Yan-Yu Chiou, M.-Y. Chen, Jau-er Chen

Publication date 12 October 2018

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

Full work available at URL https://arxiv.org/abs/1705.09418

zbMATH Keywords

nonparametric regressionthreshold valuesignificance testthreshold variable

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Abstract: This paper examines nonparametric regression with an exogenous threshold variable, allowing for an unknown number of thresholds. Given the number of thresholds and corresponding threshold values, we first establish the asymptotic properties of the local constant estimator for a nonparametric regression with multiple thresholds. However, the number of thresholds and corresponding threshold values are typically unknown in practice. We then use our testing procedure to determine the unknown number of thresholds and derive the limiting distribution of the proposed test. The Monte Carlo simulation results indicate the adequacy of the modified test and accuracy of the sequential estimation of the threshold values. We apply our testing procedure to an empirical study of the 401(k) retirement savings plan with income thresholds.

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Cited in

(6)

• Threshold effect in varying coefficient models with unknown heteroskedasticity
• Threshold regression with nonparametric sample splitting
• Generalized linear-quadratic model with a change point due to a covariate threshold
• Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya
• Nonparametric regression for threshold data
• Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes

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