arXiv 30 May 2019 · Econometrics · publishedJournal of Econometrics (2022) · 12 citations (OpenAlex)
arXiv:1905.13140 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a threshold regression model where an unknown relationship between two variables nonparametrically determines the threshold. We allow the observations to be cross-sectionally dependent so that the model can be applied to determine an unknown spatial border for sample splitting over a random field. We derive the uniform rate of convergence and the nonstandard limiting distribution of the nonparametric threshold estimator. We also obtain the root-n consistency and the asymptotic normality of the regression coefficient estimator. Our model has broad empirical relevance as illustrated by estimating the tipping point in social segregation problems as a function of demographic characteristics; and determining metropolitan area boundaries using nighttime light intensity collected from satellite imagery. We find that the new empirical results are substantially different from those in the existing studies.
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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 | Conley and Molinari (2007) Spatial Correlation Robust Inference with Errors in Location or Distance | 1.000 | 5 | 4 | 100% |
| 2 | Hansen (2000) Sample Splitting and Threshold Estimation | 0.916 | 13 | 5 | 77% |
| 3 | Card, Mas, and Rothstein (2008) Tipping and the Dynamics of Segregation | 0.874 | 8 | 2 | 100% |
| 4 | Bai (1997) Estimation of a Change Point in Multiple Regressions | 0.843 | 3 | 3 | 100% |
| 5 | Lee, Liao, Seo, and Shin (2020) Factor-driven Two-regime Regression | 0.843 | 3 | 3 | 100% |
| 6 | Yu and Fan (2020) Threshold Regression with a Threshold Boundary | 0.843 | 3 | 3 | 100% |
| 7 | Conley (1999) GMM Estimation with Cross Sectional Dependence | 0.811 | 4 | 2 | 100% |
| 8 | Dingel, Miscio, and Davis (2019) Cities, Lights, and Skills in Developing Economics | 0.811 | 4 | 2 | 100% |
| 9 | Bai and Perron (1998) Estimating and Testing Linear Models with Multiple Structural Changes | 0.737 | 3 | 2 | 100% |
| 10 | Bolthausen (1982) On the Central Limit Theorem for Stationary Mixing Random Fields | 0.693 | 6 | 2 | 50% |
Showing the top 10 of 38 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Uniform Inference in High-Dimensional Threshold Regression Models | 0.405 | 1 | 1 |