Asymptotics for threshold regression under general conditions

DOI10.1111/ectj.12012OpenAlexW1916377459MaRDI QIDQ5093217

Yongqiang Zhao, Ping Yu

Publication date: 26 July 2022

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

Full work available at URL: https://doi.org/10.1111/ectj.12012

zbMATH Keywords

threshold regressiontreatment effectnon-homogeneous Poisson processweak identificationlocal informationregularly varyingslowly varyingstrong identificationrapidly varyingdiscrete asymptotic distributionextreme value type III distributionstochastic equicontinuity failure

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion ⋮ Threshold regression with endogeneity ⋮ Regression discontinuity designs with unknown discontinuity points: testing and estimation

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