Adaptive estimation of the threshold point in threshold regression
DOI10.1016/J.JECONOM.2013.09.002zbMATH Open1337.62066OpenAlexW2182906922MaRDI QIDQ496148FDOQ496148
Authors: Ping Yu 
Publication date: 18 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.09.002
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curse of dimensionalitysemiparametric efficiencyadaptive estimationthreshold regressioncompound Poisson processadditively separable loss functionmiddle-point LSEnonparametric posterior intervalnonregular modelsemiparametric empirical Bayes
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Empirical decision procedures; empirical Bayes procedures (62C12) Economic growth models (91B62)
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Cited In (12)
- Single-index Thresholding in Quantile Regression
- Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
- Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
- Endogeneity in semiparametric threshold regression
- Quasi-Bayesian Inference for Production Frontiers
- Likelihood estimation and inference in threshold regression
- Endogeneity in semiparametric threshold regression models with two threshold variables
- Understanding estimators of treatment effects in regression discontinuity designs
- Segment regression model average with multiple threshold variables and multiple structural breaks
- Adaptive Threshold Estimation via Extreme Value Theory
- Threshold Regression With a Threshold Boundary
- Threshold regression with endogeneity
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