Likelihood estimation and inference in threshold regression

Journal of Econometrics

Volumn 167, Issue 1, 2012, Pages 274-294

  Yu, Ping ^a  

^a UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

Bayes; Boundary; Compound Poisson process; Credible set; Efficiency bounds; Local asymptotic minimax; Middle point MLE; Nonregular models; Structural change; Threshold regression; WienerHopf equation

Indexed keywords

BAYES; BOUNDARY; COMPOUND POISSON PROCESS; CREDIBLE SET; LOCAL ASYMPTOTIC; STRUCTURAL CHANGE; THRESHOLD REGRESSIONS; WIENER-HOPF EQUATION;

ESTIMATION; POISSON DISTRIBUTION; REGRESSION ANALYSIS; SAMPLING; STATISTICAL TESTS;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 84856362463     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.12.002     Document Type: Article

References (37)

1. D. Aldous Stopping times and tightness The Annals of Probability 6 1978 335 340
2. D.W.K. Andrews Tests for parameter instability and structural change with unknown change point Econometrica 1993 821 856
3. C. Atkinson A WienerHopf integral equation arising in some inference and queueing problems Biometrika 61 1974 277 283
4. J. Bai Least absolute deviation estimation of a shift Econometric Theory 11 1995 403 436
5. J. Bai Estimation of a change point in multiple regression models Review of Economics and Statistics 79 1997 551 563 (Pubitemid 128002661)
6. Bajari, P., et al. 2010. Regression discontinuity designs with an endogenous forcing variable and an application to contracting in health care. Manuscript. University of Minnesota (Unpublished).
7. R. Beran Diagnosing bootstrap success Annals of the Institute of Statistical Mathematics 49 1997 1 24 (Pubitemid 127487251)
8. B.L. Boetel Estimating investment rigidity within a threshold regression framework: the case of US hog production sector American Journal of Agricultural Economics 89 2007 36 51 (Pubitemid 46237929)
9. K.S. Chan Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model The Annals of Statistics 21 1993 520 533
10. Chan, N.H., Kutoyants, Y.A., 2010. On parameter estimation of threshold autoregressive models. Manuscript. Department of Statistics, Chinese University of Hong Kong (Unpublished).
11. V. Chernozhukov, and H. Hong Likelihood estimation and inference in a class of nonregular econometric models Econometrica 2004 1445 1480
12. S.N. Durlauf, and P.A. Johnson Multiple regimes and cross-country growth behavior Journal of Applied Econometrics 10 1995 365 384
13. J. Geweke, and N. Terui Bayesian threshold autoregressive models for nonlinear time series Journal of Time Series Analysis 14 1993 441 454
14. I. Gijbels On the estimation of jump points in smooth curves Annals of the Institute of Statistical Mathematics 51 1999 231 251 (Pubitemid 129555613)
15. J. Gonzalo, and M. Wolf Subsampling inference in threshold autoregressive models Journal of Econometrics 127 2005 201 224 (Pubitemid 40743924)
16. B.E. Hansen Sample splitting and threshold estimation Econometrica 2000 575 603
17. D.V. Hinkley Inference about the change-point in a sequence of random variables Biometrika 57 1970 1 17
18. K. Hirano, and J.R. Porter Asymptotic efficiency in parametric structural models with parameter-dependent support Econometrica 71 2003 1307 1338
19. T. Howell Birth of the threshold time series model Statistica Sinica 17 2007 8 14
20. B.N. Huang, and C.W. Yang Demand for cigarettes revisited: an application of the threshold regression model Agricultural Economics 34 2006 81 86
21. I. Ibragimov, and R. Has'minskii Statistical Estimation: Asymptotic Theory 1981 Springer-Verlag New York
22. S. Lee, and M.H. Seo Semiparametric estimation of a binary response model with a change-point due to a covariate threshold Journal of Econometrics 144 2008 492 499
23. R.M. Neal Slice sampling The Annals of Statistics 31 2003 705 767
24. J. Neveu Mathematical Foundations of the Calculus of Probability 1965 Holden-Day San Francisco
25. W.K. Newey, and D.L. McFadden Large sample estimation and hypothesis testing R.F. Eagle, D.L. McFadden, Handbook of Econometrics vol. 4 1994 Elsevier Science B.V. 2113 2245 (Chapter 36)
26. A. Pakes, and D. Pollard Simulation and the asymptotics of optimization estimators Econometrica 57 1989 1027 1057
27. D. Politis, and J. Romano Large sample confidence regions based on subsamples under minimal assumptions The Annals of Statistics 22 1994 2031 2050
28. D. Politis Subsampling 1999 Springer-Verlag New York
29. D. Pollard Convergence of Stochastic Processes 1984 Springer-Verlag New York
30. S.M. Potter A nonlinear approach to US GNP Journal of Applied Econometrics 2 1995 109 125
31. A. Savvides, and T. Stengos Income inequality and economic development: evidence from the threshold regression model Economics Letters 69 2000 207 212
32. W. Trochim Research Design for Program Evaluation: The Regression Discontinuity Approach 1984 Sage Publications Beverly Hills
33. A.W. Van der Vaart Asymptotic Statistics 1998 Cambridge University Press New York
34. A.W. Van der Vaart, and J.A. Wellner Weak Convergence and Empirical Processes: With Applications to Statistics 1996 Springer New York
35. H. White Maximum likelihood estimation of misspecified models Econometrica 50 1982 1 26
36. Yu, P., 2008a. Adaptive estimation of the threshold point in threshold regression. Manuscript. Department of Economics, University of Auckland (Unpublished).
37. Yu, P., 2008b. The bootstrap in threshold regression. Manuscript. Department of Economics, University of Auckland (Unpublished).