chngpt: threshold regression model estimation and inference
نویسندگان
چکیده
منابع مشابه
Nonparametric Threshold Regression: Estimation and Inference∗
The present work describes a simple approach to estimating the location of a threshold/change point in a nonparametric regression. This model has connections both to the time-series and regression discontinuity literatures. The estimator leverages a simple decomposition, giving it the form of a semiparametric smooth coefficient model. Optimal bandwidth selection and a suite of testing facilitie...
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Abstract. Restricted kernel regression methods have recently received much well-deserved attention. Powerful methods have been proposed for imposing monotonicity on the resulting estimate, a condition often dictated by theoretical concerns; see Hall, Huang, Gifford & Gijbels (2001) and Hall & Huang (2001), among others. However, to the best of our knowledge, there does not exist a simple yet ge...
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In this paper we investigate a new approach of estimating a regression function based on copulas. The main idea behind this approach is to write the regression function in terms of a copula and marginal distributions. Once the copula and the marginal distributions are estimated we use the plug-in method to construct the new estimator. Because various methods are available in the literature for ...
متن کاملInference in the Threshold Model
This paper studies inference about the values of the parameters in the threshold model in a generalized method of moments (GMM) framework. First, we establish that the extensively studied least squares method leads to substantially oversized tests and confidence intervals when the coeffi cient change is not large. Second, by re-ordering the data to recast the threshold model as a structural bre...
متن کاملTesting linearity against threshold effects: uniform inference in quantile regression
This paper develops a uniform test of linearity against thresholds effects in the quantile regression framework. The test is based on the supremum of the Wald process over the space of quantile and threshold parameters. We establish the asymptotic null distribution of the test statistic for stationary weakly dependent processes, and propose a simulation method to approximate the critical values...
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ژورنال
عنوان ژورنال: BMC Bioinformatics
سال: 2017
ISSN: 1471-2105
DOI: 10.1186/s12859-017-1863-x