Estimation and inference of threshold regression models with measurement errors

DOI10.1515/snde-2014-0032OpenAlexW2266294977MaRDI QIDQ2691748

Tsz-Nga Wong, Isabel Kit-Ming Yan, Terence Tai-Leung Chong, Hai-Qiang Chen

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0032

zbMATH Keywords

measurement errorthreshold modelHausman-type test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules

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