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

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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

Harvard

Lee, J, Seo, MH, Hidalgo, J & Lee, H 2022, 'Minimax Risk in Estimating Kink Threshold and Testing Continuity', ADVANCES IN ECONOMETRICS, vol. Essays in Honor of Joon Y. Park.

APA

Lee, J., Seo, M. H., Hidalgo, J., & Lee, H. (Accepted/In press). Minimax Risk in Estimating Kink Threshold and Testing Continuity. ADVANCES IN ECONOMETRICS, Essays in Honor of Joon Y. Park.

Vancouver

Lee J, Seo MH, Hidalgo J, Lee H. Minimax Risk in Estimating Kink Threshold and Testing Continuity. ADVANCES IN ECONOMETRICS. 2022 Feb 7;Essays in Honor of Joon Y. Park.

Author

Lee, Jungyoon ; Seo, Myung Hwan ; Hidalgo, Javier ; Lee, Heejun. / Minimax Risk in Estimating Kink Threshold and Testing Continuity. In: ADVANCES IN ECONOMETRICS. 2022 ; Vol. Essays in Honor of Joon Y. Park.

BibTeX

@article{be4c93c3a020493887b96aad99f66fd5,
title = "Minimax Risk in Estimating Kink Threshold and Testing Continuity",
abstract = "We derive a risk lower bound in estimating the threshold parameter without knowingwhether 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.",
author = "Jungyoon Lee and Seo, {Myung Hwan} and Javier Hidalgo and Heejun Lee",
year = "2022",
month = feb,
day = "7",
language = "English",
volume = "Essays in Honor of Joon Y. Park",
journal = "ADVANCES IN ECONOMETRICS",

}

RIS

TY - JOUR

T1 - Minimax Risk in Estimating Kink Threshold and Testing Continuity

AU - Lee, Jungyoon

AU - Seo, Myung Hwan

AU - Hidalgo, Javier

AU - Lee, Heejun

PY - 2022/2/7

Y1 - 2022/2/7

N2 - We derive a risk lower bound in estimating the threshold parameter without knowingwhether 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.

AB - We derive a risk lower bound in estimating the threshold parameter without knowingwhether 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.

M3 - Article

VL - Essays in Honor of Joon Y. Park

JO - ADVANCES IN ECONOMETRICS

JF - ADVANCES IN ECONOMETRICS

ER -