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.

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  • Accepted Manuscript

    Accepted author manuscript, 469 KB, PDF document


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
VolumeEssays in Honor of Joon Y. Park
Publication statusAccepted/In press - 7 Feb 2022

ID: 44445717