Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097133 | Journal of Econometrics | 2007 | 32 Pages |
Abstract
We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen [2000. Sample splitting and threshold estimation. Econometrica 68, 575-603] to allow the thresholding to depend on a linear index of observed regressors, thus allowing discrete variables to enter. We also do not assume that the threshold effect is vanishingly small. Our estimator is shown to be consistent and asymptotically normal thus facilitating standard inference techniques based on estimated standard errors or standard bootstrap for the slope and threshold parameters.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Myung Hwan Seo, Oliver Linton,