A smoothed least squares estimator for threshold regression models

DOI10.1016/j.jeconom.2006.11.002zbMath1418.62355OpenAlexW3123762355MaRDI QIDQ289180

Oliver B. Linton, Myung Hwan Seo

Publication date: 27 May 2016

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

Full work available at URL: http://eprints.lse.ac.uk/4434/

zbMATH Keywords

smoothingthreshold estimationindex modelsample splittingsegmented regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09)

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