Asymptotics for threshold regression under general conditions

DOI10.1111/ECTJ.12012MaRDI QIDQ5093217zbMATH OpenOpenAlexFDO

Authors Ping Yu, Yongqiang Zhao

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/ectj.12012

zbMATH Keywords

discrete asymptotic distributionextreme value type III distributionlocal informationnon-homogeneous Poisson processrapidly varyingregularly varyingslowly varyingstochastic equicontinuity failurestrong identificationthreshold regressiontreatment effectweak identification

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(16)

• Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
• Threshold regression with endogeneity
• Uneven two-sided power distributions with applications in econometric models
• Robust inference for threshold regression models
• Optimal third root asymptotic bounds in the statistical estimation of thresholds
• Asymptotics for p-value based threshold estimation under repeated measurements
• A smoothed least squares estimator for threshold regression models
• Quantile regression on quantile ranges -- a threshold approach
• The bootstrap in threshold regression
• Asymptotics for p-value based threshold estimation in regression settings
• Sample Splitting and Threshold Estimation
• Regression discontinuity designs with unknown discontinuity points: testing and estimation
• Model-robust inference for continuous threshold regression models
• Threshold Regression With a Threshold Boundary
• Data-driven estimation for multithreshold accelerated failure time model
• Likelihood estimation and inference in threshold regression

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