Title(题名):  Regression Kink With an Unknown Threshold
Authors(作者):  Bruce E Hansen
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):  p228-240
ISSN:  0735-0015
Abstract(摘要):  This article explores estimation and inference in a regression kink model with an unknown threshold. A regression kink model (or continuous threshold model) is a threshold regression constrained to be everywhere continuous with a kink at an unknown threshold. We present methods for estimation, to test for the presence of the threshold, for inference on the regression parameters, and for inference on the for the presence of the threshold, for inference on the regression parameters, and for inference on the regression function. A novel finding is that inference on the regression function is nonstandard since the regression function is a nondifferentiable function of the parameters. We apply recently developed methods for inference on nondifferentiable functions. The theory is illustrated by an application to the growth and debt problem introduced by Reinhart and Rogoff, using their long-span time-series for the United States.
Key words(关键词):  Model selection/variable selection; Nonlinear; Nonparametric methods.
Where(馆藏地):  304外文报刊阅览室
Available online
(提交时间):
 2017/12/28 14:23:12
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