Likelihood estimation and inference in threshold regression
This paper studies likelihood-based estimation and inference in parametric discontinuous threshold regression models with i.i.d. data. The setup allows heteroskedasticity and threshold effects in both mean and variance. By interpreting the threshold point as a “middle” boundary of the threshold variable, we find that the Bayes estimator is asymptotically efficient among all estimators in the locally asymptotically minimax sense. In particular, the Bayes estimator of the threshold point is asymptotically strictly more efficient than the left-endpoint maximum likelihood estimator and the newly proposed middle-point maximum likelihood estimator. Algorithms are developed to calculate asymptotic distributions and risk for the estimators of the threshold point. The posterior interval is proved to be an asymptotically valid confidence interval and is attractive in both length and coverage in finite samples.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Durlauf, Steven N & Johnson, Paul A, 1995.
"Multiple Regimes and Cross-Country Growth Behaviour,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 10(4), pages 365-84, Oct.-Dec..
- Durlauf, S.M. & Johnson, P.A., 1995. "Multiple Regimes and Cross-Country Growth Behavior," Working papers 9419r, Wisconsin Madison - Social Systems.
- Bwo-Nung Huang & Chin-Wei Yang, 2006. "Demand for cigarettes revisited: an application of the threshold regression model," Agricultural Economics, International Association of Agricultural Economists, vol. 34(1), pages 81-86, 01.
- Savvides, Andreas & Stengos, Thanasis, 2000.
"Income inequality and economic development: evidence from the threshold regression model,"
Elsevier, vol. 69(2), pages 207-212, November.
- Savvides, A. & Stengos, T., 2000. "Income Inequality and Economic Development: Evidence from the Threshold Regression Model," Working Papers 2000-2, University of Guelph, Department of Economics and Finance.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
- Gonzalo, Jesus & Wolf, Michael, 2005.
"Subsampling inference in threshold autoregressive models,"
Journal of Econometrics,
Elsevier, vol. 127(2), pages 201-224, August.
- Jesús Gonzalo & Michael Wolf, 2001. "Subsampling inference in threshold autoregressive models," Economics Working Papers 573, Department of Economics and Business, Universitat Pompeu Fabra.
- Lee, Sokbae & Seo, Myung Hwan, 2008.
"Semiparametric estimation of a binary response model with a change-point due to a covariate threshold,"
Journal of Econometrics,
Elsevier, vol. 144(2), pages 492-499, June.
- Sokbae Lee & Myung Hwan Seo, 2007. "Semiparametric estimation of a binary response model with a change-point due to a covariate threshold," LSE Research Online Documents on Economics 6806, London School of Economics and Political Science, LSE Library.
- Sokbae Lee & Myunghwan Seo, 2007. "Semiparametric Estimation Of A Binaryresponse Model With A Change-Pointdue To A Covariate Threshold," STICERD - Econometrics Paper Series 516, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Irene Gijbels & Peter Hall & Aloïs Kneip, 1999. "On the Estimation of Jump Points in Smooth Curves," Annals of the Institute of Statistical Mathematics, Springer, vol. 51(2), pages 231-251, June.
- Rudolf Beran, 1997. "Diagnosing Bootstrap Success," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(1), pages 1-24, March.
- Bruce E. Hansen, 1996.
"Sample Splitting and Threshold Estimation,"
Boston College Working Papers in Economics
319., Boston College Department of Economics, revised 12 May 1998.
- Keisuke Hirano & Jack R. Porter, 2002.
"Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support,"
Harvard Institute of Economic Research Working Papers
1988, Harvard - Institute of Economic Research.
- Keisuke Hirano & Jack R. Porter, 2003. "Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support," Econometrica, Econometric Society, vol. 71(5), pages 1307-1338, 09.
- Donald W.K. Andrews, 1990.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Cowles Foundation Discussion Papers
943, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
- Brenda L. Boetel & Ruben Hoffmann & Donald J. Liu, 2007.
"Estimating Investment Rigidity within a Threshold Regression Framework: The Case of U.S. Hog Production Sector,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 89(1), pages 36-51.
- Boetel, Brenda L. & Hoffmann, Ruben & Liu, Donald J., 2004. "Estimating Investment Rigidity Within A Threshold Regression Framework: The Case Of U.S. Hog Production Sector," Staff Papers 13790, University of Minnesota, Department of Applied Economics.
- Victor Chernozhukov & Han Hong, 2004. "Likelihood Estimation and Inference in a Class of Nonregular Econometric Models," Econometrica, Econometric Society, vol. 72(5), pages 1445-1480, 09.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- Potter, Simon M, 1995.
"A Nonlinear Approach to US GNP,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
- Bai, Jushan, 1995. "Least Absolute Deviation Estimation of a Shift," Econometric Theory, Cambridge University Press, vol. 11(03), pages 403-436, June.
- Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:167:y:2012:i:1:p:274-294. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.