Nonparametric threshold regression: Estimation and inference

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...

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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
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Institution: Singapore Management University
Language: English
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