Minimax Risk in Estimating Kink Threshold and Testing Continuity
Essays in Honor of Joon Y. Park: Econometric Theory
ISBN: 978-1-83753-209-4, eISBN: 978-1-83753-208-7
Publication date: 24 April 2023
Abstract
The authors 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 n grows only at the cube-root rate. Motivated by this finding, the authors develop a continuity test for the threshold regression model and a bootstrap to compute its p-values. The validity of the bootstrap is established, and its finite-sample property is explored through Monte Carlo simulations.
Keywords
Acknowledgements
Acknowledgments
Seo gratefully acknowledges the support from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2020S1A5A2A03046422) and from the Research Grant of the Center for Distributive Justice at the Institute of Economic Research, Seoul National University. Hidalgo acknowledges financial support from STICERD under the grant “Testing Economic Shape Restrictions.”
Citation
Hidalgo, J., Lee, H., Lee, J. and Seo, M.H. (2023), "Minimax Risk in Estimating Kink Threshold and Testing Continuity", Chang, Y., Lee, S. and Miller, J.I. (Ed.) Essays in Honor of Joon Y. Park: Econometric Theory (Advances in Econometrics, Vol. 45A), Emerald Publishing Limited, Leeds, pp. 233-259. https://doi.org/10.1108/S0731-90532023000045A008
Publisher
:Emerald Publishing Limited
Copyright © 2023 Javier Hidalgo, Heejun Lee, Jungyoon Lee and Myung Hwan Seo