Minimax Risk in Estimating Kink Threshold and Testing Continuity. / Lee, Jungyoon; Seo, Myung Hwan; Hidalgo, Javier; Lee, Heejun.

In: ADVANCES IN ECONOMETRICS, Vol. Essays in Honor of Joon Y. Park, 07.02.2022.

Research output: Contribution to journalArticlepeer-review

Forthcoming

Documents

  • Accepted Manuscript

    Accepted author manuscript, 469 KB, PDF document

Abstract

We derive a risk lower bound in estimating the threshold parameter without knowing
whether the threshold regression model is continuous or not. The bound goes to zero as the sample size n grows only at the cube root rate. Motivated by this finding, we develop a continuity test for the threshold regression model and a bootstrap to compute its p-values. The validity of the bootstrap is established, and its finite sample property is explored through Monte Carlo simulations.
Original languageEnglish
JournalADVANCES IN ECONOMETRICS
VolumeEssays in Honor of Joon Y. Park
Publication statusAccepted/In press - 7 Feb 2022

ID: 44445717