Likelihood estimation and inference in threshold regression

DOI10.1016/j.jeconom.2011.12.002zbMath1441.62910MaRDI QIDQ738152

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

zbMATH Keywords

Bayes; boundary; compound Poisson process; Wiener-Hopf equation; structural change; threshold regression; efficiency bounds; credible set; local asymptotic minimax; middle-point MLE; nonregular models

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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