Minimax Risk in Estimating Kink Threshold and Testing

Javier Hidalgo, Heejun Lee, Heejun Lee, Jungyoon Lee and Myung Hwan Seo

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

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 nding, 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 nite sample property is explored through Monte Carlo simulations.

Keywords: Continuity Test; Kink; Risk lower bound; Unknown Threshold (search for similar items in EconPapers)
Date: 2021-09
New Economics Papers: this item is included in nep-ecm, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:622

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