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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |