Adaptive estimation of the threshold point in threshold regression

DOI10.1016/j.jeconom.2013.09.002zbMath1337.62066OpenAlexW2182906922MaRDI QIDQ496148

Ping Yu

Publication date: 18 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.09.002

zbMATH Keywords

adaptive estimationcurse of dimensionalitycompound Poisson processsemiparametric efficiencythreshold regressionadditively separable loss functionmiddle-point LSEnonparametric posterior intervalnonregular modelsemiparametric empirical Bayes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nonparametric estimation (62G05) Economic growth models (91B62) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (6)

Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion ⋮ ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION ⋮ Endogeneity in semiparametric threshold regression models with two threshold variables ⋮ Single-index Thresholding in Quantile Regression ⋮ Threshold regression with endogeneity ⋮ Understanding Estimators of Treatment Effects in Regression Discontinuity Designs

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