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Keyword: threshold regression;
3 results found.
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Sokbae Lee and Myunghwan Seo
This paper is concerned with semiparametric estimation of a threshold binary response model. The estimation method considered in the paper is semiparametric since the parameters for a regression function are finite-dimen...Read more...
Myunghwan Seo and Oliver Linton
We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed re...Read more...
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold a...Read more...