IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v167y2012i1p274-294.html

Likelihood estimation and inference in threshold regression

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Kapetanios, George & Mitchell, James & Shin, Yongcheol, 2014. "A nonlinear panel data model of cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 179(2), pages 134-157.
  2. Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao, 2017. "Quantile Regression on Quantile Ranges – A Threshold Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 99-119, January.
  3. Yuanqing Zhang & Chunrong Ai & Yaqin Feng, 2024. "Threshold effect in varying coefficient models with unknown heteroskedasticity," Computational Statistics, Springer, vol. 39(3), pages 1165-1181, May.
  4. Li, Dong & Tong, Howell, 2016. "Nested sub-sample search algorithm for estimation of threshold models," LSE Research Online Documents on Economics 68880, London School of Economics and Political Science, LSE Library.
  5. Donayre Luiggi & Eo Yunjong & Morley James, 2018. "Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-11, February.
  6. Lei Guan & Kameng Nip & Ruxian Wang & Lianmin Zhang, 2026. "The Focal Multinomial Logit Model: Threshold Effects on Consumer Choice, Assortment, Pricing and Estimation," Manufacturing & Service Operations Management, INFORMS, vol. 28(3), pages 822-840, May.
  7. Lixiong Yang & Mingjian Ren & Jianming Bai, 2025. "Threshold mixed data sampling logit model with an application to forecasting US bank failures," Empirical Economics, Springer, vol. 68(1), pages 433-477, January.
  8. repec:wyi:journl:002203 is not listed on IDEAS
  9. Yoonseok Lee & Yulong Wang, 2020. "Inference in Threshold Models," Center for Policy Research Working Papers 223, Center for Policy Research, Maxwell School, Syracuse University.
  10. Ping Yu & Shengjie Hong & Peter C. B. Phillips, 2022. "Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects," Cowles Foundation Discussion Papers 2352, Cowles Foundation for Research in Economics, Yale University.
  11. Varun Agiwal & Jitendra Kumar, 2020. "Bayesian estimation for threshold autoregressive model with multiple structural breaks," METRON, Springer;Sapienza Università di Roma, vol. 78(3), pages 361-382, December.
  12. Mingyu Sun & Kai Yang & Ang Li, 2025. "Conditional minimum density power divergence estimator for self-exciting integer-valued threshold autoregressive models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 34(1), pages 198-234, March.
  13. Fitzpatrick, Luke & Parmeter, Christopher F. & Agar, Juan, 2017. "Threshold Effects in Meta-Analyses With Application to Benefit Transfer for Coral Reef Valuation," Ecological Economics, Elsevier, vol. 133(C), pages 74-85.
  14. Kourtellos, Andros & Stengos, Thanasis & Sun, Yiguo, 2022. "Endogeneity In Semiparametric Threshold Regression," Econometric Theory, Cambridge University Press, vol. 38(3), pages 562-595, June.
  15. Kai Yang & Dehui Wang & Boting Jia & Han Li, 2018. "An integer-valued threshold autoregressive process based on negative binomial thinning," Statistical Papers, Springer, vol. 59(3), pages 1131-1160, September.
  16. Chen, Haiqiang, 2015. "Robust Estimation And Inference For Threshold Models With Integrated Regressors," Econometric Theory, Cambridge University Press, vol. 31(4), pages 778-810, August.
  17. Han Li & Kai Yang & Shishun Zhao & Dehui Wang, 2018. "First-order random coefficients integer-valued threshold autoregressive processes," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(3), pages 305-331, July.
  18. Yu, Ping, 2026. "New critical values for likelihood ratio inference of threshold regression," Economics Letters, Elsevier, vol. 259(C).
  19. Yu, Ping & Phillips, Peter C.B., 2018. "Threshold regression with endogeneity," Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.
  20. Porter, Jack & Yu, Ping, 2015. "Regression discontinuity designs with unknown discontinuity points: Testing and estimation," Journal of Econometrics, Elsevier, vol. 189(1), pages 132-147.
  21. Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017. "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers 2017-15, University of Miami, Department of Economics.
  22. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
  23. repec:hum:wpaper:sfb649dp2013-034 is not listed on IDEAS
  24. Lee, Yoonseok & Wang, Yulong, 2023. "Threshold regression with nonparametric sample splitting," Journal of Econometrics, Elsevier, vol. 235(2), pages 816-842.
  25. Pavlos Almanidis & Giannis Karagiannis & Robin Sickles, 2015. "Semi-nonparametric spline modifications to the Cornwell–Schmidt–Sickles estimator: an analysis of US banking productivity," Empirical Economics, Springer, vol. 48(1), pages 169-191, February.
  26. Yu, Ping & Phillips, Peter C.B., 2018. "Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion," Economics Letters, Elsevier, vol. 172(C), pages 123-126.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.