Sample Splitting and Threshold Estimation

DOI10.1111/1468-0262.00124zbMATH Open1056.62528OpenAlexW2096734231MaRDI QIDQ4530973FDOQ4530973

Authors: Bruce E. Hansen 

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

Recommendations

• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
• Asymptotics for threshold regression under general conditions
• Inference in TAR Models
• Robust inference for threshold regression models
• Maximum likelihood estimation of dynamic panel threshold models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cited In (only showing first 100 items - show all)

• Inferring strategies from observed actions: a nonparametric, binary tree classification approach
• The moderate deviation principle for minimizers of convex processes
• Robust variable selection and estimation in threshold regression model
• A switching model with flexible threshold variable: with an application to nonlinear dynamics in stock returns
• Dealing with intraregional flows in spatial econometric gravity models
• Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
• Panel threshold regressions with latent group structures
• Estimation of nonlinear error correction models
• A regression tree algorithm for the identification of convergence clubs
• Robust inference for threshold regression models
• Model-robust inference for continuous threshold regression models
• Trade as a threshold variable for multiple regimes
• Double generalized threshold models with constraint on the dispersion by the mean
• Modeling population dynamics: a quantile approach
• Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
• Oracle estimation of a change point in high-dimensional quantile regression
• Does the Kuznets curve exist in Thailand? A two decades' perspective (1993--2015)
• Generalized linear-quadratic model with a change point due to a covariate threshold
• Panel threshold models with interactive fixed effects
• Structural-break models under mis-specification: implications for forecasting
• Guaranteed testing for epidemic changes of a linear regression model
• Threshold model with a time-varying threshold based on Fourier approximation
• A variable addition test for exogeneity in structural threshold models
• The Lasso for High Dimensional Regression with a Possible Change Point
• Simulation and application of subsampling for threshold autoregressive moving-average models
• Effects of filtering data on testing asymmetry in threshold autoregressive models
• Robust estimation and inference for threshold models with integrated regressors
• A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
• M-estimators with non-standard rates of convergence and weakly dependent data
• Inference after estimation of breaks
• Openness in services trade and economic growth
• Trade as a threshold variable for multiple regimes: a comment
• The transmission mechanism in good and bad times
• Estimation for the spatial autoregressive threshold model
• A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
• Nonparametric regression with multiple thresholds: estimation and inference
• Threshold autoregressive models for interval-valued time series data
• The real consequences of financial stress
• Frequentist model averaging for threshold models
• Splitting the sample at the largest uncensored observation
• Inference of Breakpoints in High-dimensional Time Series
• How does monetary policy influence capital markets? Using a threshold regression model
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• INFLATION AND FINANCIAL DEPTH
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Time-varying threshold cointegration with an application to the Fisher hypothesis
• Quasi-likelihood estimation of structure-changed threshold double autoregressive models
• Empirical supremum rejection sampling
• Estimation of nonlinear dynamic panel data models with individual effects
• Factor-driven two-regime regression
• Income inequality and economic development: Evidence from the threshold regression model
• The bootstrap in threshold regression
• Subsampling inference in threshold autoregressive models
• What determines the finance-growth nexus? Empirical evidence for threshold models
• Single-index Thresholding in Quantile Regression
• Model recovery for Hammerstein systems using the auxiliary model based orthogonal matching pursuit method
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
• Structural threshold regression
• Threshold effects of human capital: schooling and economic growth
• A joint test for structural stability and a unit root in autoregressions
• Nonlinear effects of fiscal policy over the business cycle
• Growth and convergence: a profile of distribution dynamics and mobility
• Spatially-explicit Bayesian information entropy metrics for calibrating landscape transformation models
• Social threshold regression
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Order selection in nonlinear time series models with application to the study of cell memory
• Maximal uniform convergence rates in parametric estimation problems
• Multi-threshold accelerated failure time model
• A smoothed least squares estimator for threshold regression models
• Confidence sets for the date of a single break in linear time series regressions
• Is concentration a good idea? Evidence from active fund management
• Testing linearity against threshold effects: uniform inference in quantile regression
• Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
• Estimation in threshold autoregressive models with a stationary and a unit root regime
• Detection of jump location curve in spatial linear regression model with two-dimensional threshold
• The incidence and persistence of corruption in economic development
• Threshold quantile autoregressive models
• Testing for two-regime threshold cointegration in vector error-correction models.
• Nonlinearity between finance and growth
• Asymptotic theory on the least squares estimation of threshold moving-average models
• BootstrapMUnit Root Tests
• On the least squares estimation of multiple-regime threshold autoregressive models
• Forecasting time-varying covariance with a robust Bayesian threshold model
• Asymptotic inference in multiple-threshold double autoregressive models
• LASSO estimation of threshold autoregressive models
• Estimation and model selection based inference in single and multiple threshold models.
• A nonlinear panel data model of cross-sectional dependence
• Asymptotics for argmin processes: convexity arguments
• Regularized Bayesian estimation of generalized threshold regression models
• Dynamic panels with threshold effect and endogeneity
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Bayesian estimation and model selection of threshold spatial Durbin model
• Likelihood estimation and inference in threshold regression
• Maximum likelihood estimation of dynamic panel threshold models
• Bank credit and economic growth: short-run evidence from a dynamic threshold panel model
• Martingale Type Statistics Applied to Change Points Detection
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• Adaptive estimation of the threshold point in threshold regression
• Testing structural change in partially linear models

This page was built for publication: Sample Splitting and Threshold Estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4530973)