Javier Hidalgo, Heejun Lee, Jungyoon Lee, Myung Hwan Seo
arXiv 1 Mar 2022 · Econometrics · 4 citations (OpenAlex)
arXiv:2203.00349 · PDF · DOI · OpenAlex · Extracted main text
We derive a risk lower bound in estimating the threshold parameter without knowing whether the threshold regression model is continuous or not. The bound goes to zero as the sample size $ n $ grows only at the cube root rate. Motivated by this finding, we develop a continuity test for the threshold regression model and a bootstrap to compute its p-values. The validity of the bootstrap is established, and its finite sample property is explored through Monte Carlo simulations.
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Bootstraps for Dynamic Panel Threshold Models | 0.405 | 1 | 1 |