Minimax Risk in Estimating Kink Threshold and Testing Continuity
Econometrics
2022-03-02 v1 Statistics Theory
Statistics Theory
Abstract
We derive a risk lower bound in estimating the threshold parameter without knowing whether the threshold regression model is continuous or not. The bound goes to zero as the sample size grows only at the cube root rate. Motivated by this finding, we develop a continuity test for the threshold regression model and a bootstrap to compute its \textit{p}-values. The validity of the bootstrap is established, and its finite sample property is explored through Monte Carlo simulations.
Keywords
Cite
@article{arxiv.2203.00349,
title = {Minimax Risk in Estimating Kink Threshold and Testing Continuity},
author = {Javier Hidalgo and Heejun Lee and Jungyoon Lee and Myung Hwan Seo},
journal= {arXiv preprint arXiv:2203.00349},
year = {2022}
}
Comments
arXiv admin note: text overlap with arXiv:1702.00836