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On the Estimation of a Class of Threshold Regression Models

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  • T. V. S. Ramamohan Rao

    (Indian Institute of Technology)

Abstract

A rich variety of threshold regression models have been in use starting with Tobin (1978). However, several applications indicate the necessity for a class of threshold regression models that have not been considered so far. This note presents a specification of such models and offers a novel method of estimation.

Suggested Citation

  • T. V. S. Ramamohan Rao, 2024. "On the Estimation of a Class of Threshold Regression Models," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(1), pages 199-209, March.
    • Handle: RePEc:spr:jqecon:v:22:y:2024:i:1:d:10.1007_s40953-023-00370-x
    DOI: 10.1007/s40953-023-00370-x
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    References listed on IDEAS

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    1. Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
    2. Yu, Ping, 2015. "Consistency of the least squares estimator in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 131(C), pages 41-46.
    3. Jingli Wang & Jialiang Li, 2023. "Multi-Threshold Structural Equation Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 377-387, April.
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