M-estimators of U-processes with a change-point due to a covariate threshold

• Main Authors: TAN, Lili, ZHANG, Yichong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Simulation-based inference; bootstrap; monotone rank estimator; partial rank estimator; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1997; https://ink.library.smu.edu.sg/context/soe_research/article/2996/viewcontent/main_MU.pdf
• Institution: Singapore Management University

Economic theory often predicts a “tipping point” effect due to multiple equilibria. Linear threshold regressions estimate the “tipping point” by assuming at the same time that the response variable is linear in an index of covariates. However, economic theory rarely imposes a specific functional form,...