Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion

Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion

The asymptotic distribution of the least squares estimator in threshold regression is expressed in terms of a compound Poisson process when the threshold effect is fixed and as a functional of two-sided Brownian motion when the threshold effect shrinks to zero. This paper explains the relationship b...

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Bibliographic Details
Main Authors: YU, Ping, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Threshold regression
Sequential asymptotics
Doob's martingale inequality
Compound Poisson process
Brownian motion
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2353
https://ink.library.smu.edu.sg/context/soe_research/article/3352/viewcontent/2Asys_av.pdf
https://ink.library.smu.edu.sg/context/soe_research/article/3352/filename/0/type/additional/viewcontent/2Asys_mmc1.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2353
https://ink.library.smu.edu.sg/context/soe_research/article/3352/viewcontent/2Asys_av.pdf
https://ink.library.smu.edu.sg/context/soe_research/article/3352/filename/0/type/additional/viewcontent/2Asys_mmc1.pdf

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