Title(题名):  Is There a Jump in the Transition?
Authors(作者):  Young-Joo Kim and Myung Hwan Seo
Source title(刊名):  Journal of Business &Economic Statistics:A Publication of the American Statistical Association
Volume, Issue, Issue date
(卷,期,年):
 April 2017,Vol35,Issue2
Pages(页码):  p250-264
ISSN:  0735-0015
Abstract(摘要):  This article develops a statistical test for the presence of a jump in an otherwise smooth transition process. In this testing, the null model is a threshold regression and the alternative model is a smooth transition model. We propose a quasi-Gaussian likelihood ratio statistic and provide its asymptotic distribution, which is defined as the maximum of a two parameter Gaussian process with a nonzero bias term. Asymptotic critical values can be tabulated and depend on the transition function employed. A simulation method to compute empirical critical values is also developed. Finite-sample performance of the test is assessed via Monte Carlo simulations. The test is applied to investigate the dynamics of racial segregation within cities across the United States.
Key words(关键词):  Parameter on a boundary; Racial segregation; Smooth transition; Threshold regression; Tipping.
Where(馆藏地):  304外文报刊阅览室
Available online
(提交时间):
 2017/12/28 14:25:20
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