Threshold effects in non-dynamic panels: Estimation, testing, and inference
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Publication:150493
DOI10.1016/s0304-4076(99)00025-1zbMath0941.62127WikidataQ107460674 ScholiaQ107460674MaRDI QIDQ150493
Bruce E. Hansen, Bruce E. Hansen
Publication date: December 1999
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)
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Cites Work
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- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Prepivoting to reduce level error of confidence sets
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Estimating and Testing Linear Models with Multiple Structural Changes
- Sample Splitting and Threshold Estimation
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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