IDEAS home Printed from https://ideas.repec.org/p/ifs/cemmap/36-10.html
   My bibliography  Save this paper

Testing for threshold effects in regression models

Author

Listed:
  • Sokbae (Simon) Lee

    (Institute for Fiscal Studies and Columbia University)

  • Myung Hwan Seo

    (Institute for Fiscal Studies)

  • Youngki Shin

    (Institute for Fiscal Studies)

Abstract

In this article, we develop a general method for testing threshold effects in regression models, using sup-likelihood-ratio (LR)-type statistics. Although the sup-LR-type test statistic has been considered in the literature, our method for establishing the asymptotic null distribution is new and nonstandard. The standard approach in the literature for obtaining the asymptotic null distribution requires that there exist a certain quadratic approximation to the objective function. The article provides an alternative, novel method that can be used to establish the asymptotic null distribution, even when the usual quadratic approximation is intractable. We illustrate the usefulness of our approach in the examples of the maximum score estimation, maximum likelihood estimation, quantile regression, and maximum rank correlation estimation. We establish consistency and local power properties of the test. We provide some simulation results and also an empirical application to tipping in racial segregation. This article has supplementary materials online.

Suggested Citation

  • Sokbae (Simon) Lee & Myung Hwan Seo & Youngki Shin, 2010. "Testing for threshold effects in regression models," CeMMAP working papers CWP36/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:36/10
    as

    Download full text from publisher

    File URL: http://cemmap.ifs.org.uk/wps/cwp3610.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. David Card & Alexandre Mas & Jesse Rothstein, 2008. "Tipping and the Dynamics of Segregation," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 123(1), pages 177-218.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Olivier Bargain & Victor Stephane & Jérôme Valette, 2022. "Another brick in the wall. Immigration and electoral preferences: Direct evidence from state ballots," Review of International Economics, Wiley Blackwell, vol. 30(5), pages 1452-1477, November.
    2. Steven N. Durlauf & Yannis M. Ioannides, 2010. "Social Interactions," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 451-478, September.
    3. Young-Joo Kim & Myung Hwan Seo, 2017. "Is There a Jump in the Transition?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 241-249, April.
    4. Boris Podobnik & Marko Jusup & Dejan Kovac & H. E. Stanley, 2017. "Predicting the Rise of EU Right-Wing Populism in Response to Unbalanced Immigration," Complexity, Hindawi, vol. 2017, pages 1-12, August.
    5. Fanny Landaud & Son Thierry Ly & Éric Maurin, 2020. "Competitive Schools and the Gender Gap in the Choice of Field of Study," Journal of Human Resources, University of Wisconsin Press, vol. 55(1), pages 278-308.
    6. Joan Monras, 2020. "Immigration and Wage Dynamics: Evidence from the Mexican Peso Crisis," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 3017-3089.
    7. Cordes, Christian & Richerson, Peter J. & Schwesinger, Georg, 2010. "How corporate cultures coevolve with the business environment: The case of firm growth crises and industry evolution," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 465-480, December.
    8. Nicolai V. Kuminoff & Jaren C. Pope, 2014. "Do “Capitalization Effects” For Public Goods Reveal The Public'S Willingness To Pay?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(4), pages 1227-1250, November.
    9. Ad Coenen & Pieter-Paul Verhaeghe & Bart Van de Putte, 2019. "Ethnic Residential Segregation: A Family Matter? An Integration of Household Composition Characteristics into the Residential Segregation Literature," European Journal of Population, Springer;European Association for Population Studies, vol. 35(5), pages 1023-1052, December.
    10. Ferraz, Claudio & Finan, Frederico S., 2008. "Motivating Politicians: The Impacts of Monetary Incentives on Quality and Performance," IZA Discussion Papers 3411, Institute of Labor Economics (IZA).
    11. Edward L. Glaeser, 2021. "Urban Resilience," NBER Working Papers 29261, National Bureau of Economic Research, Inc.
    12. Cobb-Clark, Deborah A. & Sinning, Mathias G., 2011. "Neighborhood diversity and the appreciation of native- and immigrant-owned homes," Regional Science and Urban Economics, Elsevier, vol. 41(3), pages 214-226, May.
    13. David S. Lee & Thomas Lemieux, 2009. "Regression Discontinuity Designs In Economics," Working Papers 1118, Princeton University, Department of Economics, Industrial Relations Section..
    14. Brunner, Beatrice & Kuhn, Andreas, 2014. "Immigration, Cultural Distance and Natives' Attitudes Towards Immigrants: Evidence from Swiss Voting Results," IZA Discussion Papers 8409, Institute of Labor Economics (IZA).
    15. Pastore, Chiara & Jones, Andrew M., 2023. "Human capital consequences of missing out on a grammar school education," Economic Modelling, Elsevier, vol. 126(C).
    16. Grauwin, Sébastian & Goffette-Nagot, Florence & Jensen, Pablo, 2012. "Dynamic models of residential segregation: An analytical solution," Journal of Public Economics, Elsevier, vol. 96(1), pages 124-141.
    17. Lévêque, Christophe & Saleh, Mohamed, 2018. "Does industrialization affect segregation? Evidence from nineteenth-century Cairo," Explorations in Economic History, Elsevier, vol. 67(C), pages 40-61.
    18. bunten, devin michelle & Fu, Ellen & Rolheiser, Lyndsey & Severen, Christopher, 2024. "The Problem Has Existed over Endless Years: Racialized Difference in Commuting, 1980–2019," Journal of Urban Economics, Elsevier, vol. 141(C).
    19. Caetano, Gregorio & Maheshri, Vikram, 2019. "Gender segregation within neighborhoods," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 253-263.
    20. Oosterbeek, Hessel & Sóvágó, Sándor & van der Klaauw, Bas, 2021. "Preference heterogeneity and school segregation," Journal of Public Economics, Elsevier, vol. 197(C).

    More about this item

    Keywords

    regression; econometrics;

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:ifs:cemmap:36/10. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Emma Hyman (email available below). General contact details of provider: https://edirc.repec.org/data/cmifsuk.html .

    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.