Arbeitspapier
Testing for threshold effects in regression models
In this article, we develop a general method for testing threshold effects in regression models, using sup-likelihood-ratio (LR)-type statistics. Although the sup-LR-type test statistic has been considered in the literature, our method for establishing the asymptotic null distribution is new and nonstandard. The standard approach in the literature for obtaining the asymptotic null distribution requires that there exist a certain quadratic approximation to the objective function. The article provides an alternative, novel method that can be used to establish the asymptotic null distribution, even when the usual quadratic approximation is intractable. We illustrate the usefulness of our approach in the examples of the maximum score estimation, maximum likelihood estimation, quantile regression, and maximum rank correlation estimation. We establish consistency and local power properties of the test. We provide some simulation results and also an empirical application to tipping in racial segregation. This article has supplementary materials online.
- Language
-
Englisch
- Bibliographic citation
-
Series: cemmap working paper ; No. CWP36/10
- Classification
-
Wirtschaft
- Subject
-
Davies problem
empirical process
maximum score estimation
maximum rank correlation estimation
U-process
threshold model
- Event
-
Geistige Schöpfung
- (who)
-
Lee, Sokbae
Seo, Myung Hwan
Shin, Youngki
- Event
-
Veröffentlichung
- (who)
-
Centre for Microdata Methods and Practice (cemmap)
- (where)
-
London
- (when)
-
2010
- DOI
-
doi:10.1920/wp.cem.2010.3610
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lee, Sokbae
- Seo, Myung Hwan
- Shin, Youngki
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2010
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Testing model assumptions in functional regression models
Testing regression monotonicity in econometric models
Testing symmetry in nonparametric regression models
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Flexible specification testing in quantile regression models
Testing under a modified Cox regression model
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