Likelihood estimation and inference in threshold regression
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DOI: 10.1016/j.jeconom.2011.12.002
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- Haiqiang Chen, "undated". "Robust Estimation and Inference for Threshold Models with Integrated Regressors," Working Papers 2013-12-02, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Chen, Haiqiang, 2013. "Robust estimation and inference for threshold models with integrated regressors," SFB 649 Discussion Papers 2013-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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More about this item
Keywords
Threshold regression; Structural change; Nonregular models; Boundary; Efficiency bounds; Bayes; Middle-point MLE; Compound Poisson process; Wiener–Hopf equation; Local asymptotic minimax; Credible set;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
Statistics
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