Robust inference for threshold regression models

DOI10.1016/J.JECONOM.2019.01.008zbMath1452.62644arXiv1702.00836OpenAlexW2899717922MaRDI QIDQ2000828

Myung Hwan Seo, Jungyoon Lee, Javier Hidalgo

Publication date: 1 July 2019

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

Full work available at URL: https://arxiv.org/abs/1702.00836

zbMATH Keywords

kinkchange pointcube rootgrid bootstrap

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items (4)

A note on regression kink model ⋮ Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime ⋮ Threshold regression with nonparametric sample splitting ⋮ A multi-kink quantile regression model with common structure for panel data analysis

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