INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
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Publication:5696350
DOI10.1017/S0266466604205011zbMath1071.62115OpenAlexW2127882594MaRDI QIDQ5696350
Publication date: 18 October 2005
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466604205011
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05) Sequential estimation (62L12)
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Cites Work
- Threshold effects in non-dynamic panels: Estimation, testing, and inference
- Cube root asymptotics
- Asymptotic efficiency in estimation with conditional moment restrictions
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Testing and estimating change-points in time series
- The minimum of an additive process with applications to signal estimation and storage theory
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Sample Splitting and Threshold Estimation
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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