A smoothed least squares estimator for threshold regression models

Linton, Oliver and Seo, Myunghwan (2005) A smoothed least squares estimator for threshold regression models. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed regressors, thus allowing discrete variables to enter. We also do not assume that the threshold e¤ect is vanishingly small. Our estimator is shown to be consistent and asymptotically normal thus facilitating standard inference techniques based on estimated standard errors or standard bootstrap for the threshold parameters themselves. We compare our con dence intervals with those of Hansen (2000) in a simulation study and show that our methods outperform his for large values of the threshold. We also include an application to cross-country growth regressions.

Item Type:	Monograph (Discussion Paper)
Official URL:	http://sticerd.lse.ac.uk
Additional Information:	© 2005 the authors
Divisions:	Financial Markets Group Economics STICERD
Subjects:	H Social Sciences > HB Economic Theory
JEL classification:	C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing
Date Deposited:	21 Apr 2008 13:29
Last Modified:	11 Dec 2024 18:43
URI:	http://eprints.lse.ac.uk/id/eprint/4434

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