Minimax Risk in Estimating Kink Threshold and Testing Continuity

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

A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 233-259 from Emerald Group Publishing Limited

Abstract: The authors 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 sizengrows only at the cube-root rate. Motivated by this finding, the authors develop a continuity test for the threshold regression model and a bootstrap to compute itsp-values. The validity of the bootstrap is established, and its finite-sample property is explored through Monte Carlo simulations.

Keywords: Continuity test; kink; risk lower bound; unknown threshold; bootstrap; minimax; C12; C13; C24 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-90532023000045a008

DOI: 10.1108/S0731-90532023000045A008

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