Likelihood estimation and inference in threshold regression

DOI10.1016/J.JECONOM.2011.12.002zbMATH Open1441.62910OpenAlexW2081058124MaRDI QIDQ738152FDOQ738152

Authors: Ping Yu 

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

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zbMATH Keywords

Bayesboundarythreshold regressionstructural changeefficiency boundsWiener-Hopf equationcompound Poisson processcredible setlocal asymptotic minimaxmiddle-point MLEnonregular 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)

Cites Work

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• Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
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• On parameter estimation of threshold autoregressive models
• Income inequality and economic development: Evidence from the threshold regression model
• A Wiener-Hopf integral equation arising in some inference and queueing problems

Cited In (34)

• Single-index Thresholding in Quantile Regression
• Threshold effect in varying coefficient models with unknown heteroskedasticity
• First-order random coefficients integer-valued threshold autoregressive processes
• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• Structural threshold regression
• Generalized threshold latent variable model
• Threshold regression with nonparametric sample splitting
• Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models
• Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
• THE BOOTSTRAP IN THRESHOLD REGRESSION
• Regression discontinuity designs with unknown discontinuity points: testing and estimation
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Likelihood-Based Inference in Some Continuous Exponential Families With Unknown Threshold Parameters
• Understanding Estimators of Treatment Effects in Regression Discontinuity Designs
• On a periodic negative binomial SETINAR model
• Quantile Regression on Quantile Ranges - A Threshold Approach
• A nonlinear panel data model of cross-sectional dependence
• Title not available (Why is that?)
• Title not available (Why is that?)
• Regularized Bayesian estimation of generalized threshold regression models
• M-Estimators of U-Processes With a Change-Point Due to a Covariate Threshold
• Endogeneity in semiparametric threshold regression models with two threshold variables
• Asymptotics for threshold regression under general conditions
• Segment regression model average with multiple threshold variables and multiple structural breaks
• Adaptive estimation of the threshold point in threshold regression
• Entropy inference in smooth transition kink regression
• ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS
• An integer-valued threshold autoregressive process based on negative binomial thinning
• Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
• Common threshold in quantile regressions with an application to pricing for reputation
• Testing for homogeneous thresholds in threshold regression models
• Threshold Regression With a Threshold Boundary
• ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION
• Threshold regression with endogeneity

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