Sokbae Lee, Yuan Liao, Myung Hwan Seo, Youngki Shin
arXiv 25 Oct 2018 · Econometrics · publishedThe Annals of Statistics (2021) · 8 citations (OpenAlex)
arXiv:1810.11109 · PDF · DOI · OpenAlex · Extracted main text
We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a panel data set. We show that the optimization problem can be reformulated as mixed integer optimization, and we present two alternative computational algorithms. We derive the asymptotic distribution of the resulting estimator under the scheme that the threshold effect shrinks to zero. In particular, we establish a phase transition that describes the effect of first-stage factor estimation as the cross-sectional dimension of panel data increases relative to the time-series dimension. Moreover, we develop bootstrap inference and illustrate our methods via numerical studies.
appendix boundary found by appendix_command · 19% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hansen (2000) Sample splitting and threshold estimation | 0.874 | 6 | 2 | 100% |
| 2 | Kim and Pollard (1990) Cube Root Asymptotics | 0.737 | 3 | 2 | 100% |
| 3 | Fan, Liao, and Mincheva (2013) Large covariance estimation by thresholding principal orthogonal complements (with discussion) | 0.644 | 4 | 2 | 50% |
| 4 | Bai (2003) Inferential theory for factor models of large dimensions | 0.644 | 4 | 2 | 50% |
| gonccalves2018bootstrapping | unmatched citation key gonccalves2018bootstrapping | 0.644 | 4 | 2 | 50% |
| 6 | Chan (1993) Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model | 0.585 | 3 | 1 | 100% |
| 7 | Bertsimas, King, and Mazumder (2016) Best subset selection via a modern optimization lens | 0.511 | 2 | 2 | 50% |
| 8 | Bai and Ng (2006) Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions | 0.511 | 2 | 1 | 100% |
| 9 | Hansen (1997) Inference in TAR Models | 0.511 | 2 | 1 | 100% |
| 10 | van der Vaart and Wellner (1996) Weak convergence and empirical processes | 0.500 | 8 | 4 | 12% |
Showing the top 10 of 39 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.