Artikel
Monte Carlo comparison for nonparametric threshold estimators
This paper compares the finite sample performance of three non-parametric threshold estimators via the Monte Carlo method. Our results indicate that the finite sample performance of the three estimators is not robust to the position of the threshold level along the distribution of the threshold variable, especially when a structural change occurs at the tail part of the distribution.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 11 ; Year: 2018 ; Issue: 3 ; Pages: 1-15 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
- Thema
-
difference kernel estimator
integrated difference kernel estimator
M-estimation
Monte Carlo
nonparametric threshold regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Chaoyi
Sun, Yiguo
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2018
- DOI
-
doi:10.3390/jrfm11030049
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chen, Chaoyi
- Sun, Yiguo
- MDPI
Entstanden
- 2018
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