Sample Splitting and Threshold Estimation

DOI10.1111/1468-0262.00124zbMath1056.62528OpenAlexW2096734231MaRDI QIDQ4530973

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00124

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) Asymptotic distribution theory in statistics (62E20)

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