Likelihood estimation and inference in threshold regression
From MaRDI portal
Publication:738152
DOI10.1016/j.jeconom.2011.12.002zbMath1441.62910MaRDI QIDQ738152
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.12.002
Bayes; boundary; compound Poisson process; Wiener-Hopf equation; structural change; threshold regression; efficiency bounds; credible set; local asymptotic minimax; middle-point MLE; nonregular models
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Unnamed Item, Unnamed Item, Entropy inference in smooth transition kink regression, ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION, Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models, Common threshold in quantile regressions with an application to pricing for reputation, Understanding Estimators of Treatment Effects in Regression Discontinuity Designs, Endogeneity in semiparametric threshold regression models with two threshold variables, Threshold regression with nonparametric sample splitting, Single-index Thresholding in Quantile Regression, On a periodic negative binomial SETINAR model, A nonlinear panel data model of cross-sectional dependence, Adaptive estimation of the threshold point in threshold regression, Regression discontinuity designs with unknown discontinuity points: testing and estimation, Regularized Bayesian estimation of generalized threshold regression models, Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion, Threshold regression with endogeneity, An integer-valued threshold autoregressive process based on negative binomial thinning, Generalized threshold latent variable model, Bayesian estimation for threshold autoregressive model with multiple structural breaks, Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts, First-order random coefficients integer-valued threshold autoregressive processes, STRUCTURAL THRESHOLD REGRESSION, Quantile Regression on Quantile Ranges - A Threshold Approach, THE BOOTSTRAP IN THRESHOLD REGRESSION, ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS
Cites Work
- Unnamed Item
- Unnamed Item
- Subsampling inference in threshold autoregressive models
- Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
- On parameter estimation of threshold autoregressive models
- Stopping times and tightness
- Subsampling
- Diagnosing bootstrap success
- Slice sampling. (With discussions and rejoinder)
- Income inequality and economic development: Evidence from the threshold regression model
- On the estimation of jump points in smooth curves
- Large sample confidence regions based on subsamples under minimal assumptions
- Weak convergence and empirical processes. With applications to statistics
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Simulation and the Asymptotics of Optimization Estimators
- Asymptotic Statistics
- BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
- Sample Splitting and Threshold Estimation
- A Wiener-Hopf integral equation arising in some inference and queueing problems
- Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support
- Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
- Inference about the change-point in a sequence of random variables
- Convergence of stochastic processes
- Maximum Likelihood Estimation of Misspecified Models