Nonparametric threshold regression: Estimation and inference

The present work describes a simple approach to estimating the location of a threshold/changepoint in a nonparametric regression. This model has connections both to the time-series and regressiondiscontinuity literatures. The estimator leverages a simple decomposition, giving it the form of asemipar...

Full description

Saved in:

Bibliographic Details
Main Authors:	HENDERSON, Daniel J., PARMETER, Christopher F., SU, Liangjun
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2015
Subjects:	Change Point Local Average Treatment Effect Nonparametric Threshold Regression Regression Discontinuity Smoothed Bootstrap Structural Change Econometrics
Online Access:	https://ink.library.smu.edu.sg/soe_research/2066 https://ink.library.smu.edu.sg/context/soe_research/article/3065/viewcontent/Henderson__1_.pdf
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	Singapore Management University
Language:	English

id	sg-smu-ink.soe_research-3065
record_format	dspace
spelling	sg-smu-ink.soe_research-30652017-08-31T02:56:12Z Nonparametric threshold regression: Estimation and inference HENDERSON, Daniel J. PARMETER, Christopher F. SU, Liangjun The present work describes a simple approach to estimating the location of a threshold/changepoint in a nonparametric regression. This model has connections both to the time-series and regressiondiscontinuity literatures. The estimator leverages a simple decomposition, giving it the form of asemiparametric smooth coefficient model. Optimal bandwidth selection and a suite of testing facilitiesare also presented. Several empirical examples are provided to illustrate the implementation of themethods discussed here. 2015-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2066 https://ink.library.smu.edu.sg/context/soe_research/article/3065/viewcontent/Henderson__1_.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Change Point Local Average Treatment Effect Nonparametric Threshold Regression Regression Discontinuity Smoothed Bootstrap Structural Change Econometrics
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Change Point Local Average Treatment Effect Nonparametric Threshold Regression Regression Discontinuity Smoothed Bootstrap Structural Change Econometrics
spellingShingle	Change Point Local Average Treatment Effect Nonparametric Threshold Regression Regression Discontinuity Smoothed Bootstrap Structural Change Econometrics HENDERSON, Daniel J. PARMETER, Christopher F. SU, Liangjun Nonparametric threshold regression: Estimation and inference
description	The present work describes a simple approach to estimating the location of a threshold/changepoint in a nonparametric regression. This model has connections both to the time-series and regressiondiscontinuity literatures. The estimator leverages a simple decomposition, giving it the form of asemiparametric smooth coefficient model. Optimal bandwidth selection and a suite of testing facilitiesare also presented. Several empirical examples are provided to illustrate the implementation of themethods discussed here.
format	text
author	HENDERSON, Daniel J. PARMETER, Christopher F. SU, Liangjun
author_facet	HENDERSON, Daniel J. PARMETER, Christopher F. SU, Liangjun
author_sort	HENDERSON, Daniel J.
title	Nonparametric threshold regression: Estimation and inference
title_short	Nonparametric threshold regression: Estimation and inference
title_full	Nonparametric threshold regression: Estimation and inference
title_fullStr	Nonparametric threshold regression: Estimation and inference
title_full_unstemmed	Nonparametric threshold regression: Estimation and inference
title_sort	nonparametric threshold regression: estimation and inference
publisher	Institutional Knowledge at Singapore Management University
publishDate	2015
url	https://ink.library.smu.edu.sg/soe_research/2066 https://ink.library.smu.edu.sg/context/soe_research/article/3065/viewcontent/Henderson__1_.pdf
_version_	1770573649239080960

Nonparametric threshold regression: Estimation and inference

Similar Items