Nonparametric Threshold Regression: Estimation and Inference∗
نویسندگان
چکیده
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 facilities are also presented. Several empirical examples are provided to illustrate the implementation of the methods discussed here.
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