IDEAS home Printed from https://ideas.repec.org/h/eme/aecozz/s0731-90532023000045a008.html
   My bibliography  Save this book chapter

Minimax Risk in Estimating Kink Threshold and Testing Continuity

In: Essays in Honor of Joon Y. Park: Econometric Theory

Author

Listed:
  • Javier Hidalgo
  • Heejun Lee
  • Jungyoon Lee
  • Myung Hwan Seo

Abstract

The authors 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 sizengrows only at the cube-root rate. Motivated by this finding, the authors develop a continuity test for the threshold regression model and a bootstrap to compute itsp-values. The validity of the bootstrap is established, and its finite-sample property is explored through Monte Carlo simulations.

Suggested Citation

  • Javier Hidalgo & Heejun Lee & Jungyoon Lee & Myung Hwan Seo, 2023. "Minimax Risk in Estimating Kink Threshold and Testing Continuity," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Theory, volume 45, pages 233-259, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-90532023000045a008
    DOI: 10.1108/S0731-90532023000045A008
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-90532023000045A008/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-90532023000045A008/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S0731-90532023000045A008
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-90532023000045A008/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/S0731-90532023000045A008?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Continuity test; kink; risk lower bound; unknown threshold; bootstrap; minimax; C12; C13; C24;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:aecozz:s0731-90532023000045a008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.