Threshold effect in varying coefficient models with unknown heteroskedasticity

This paper extends the threshold regression to threshold effect in varying coefficient model. We allow for either cross-section or time series observations. Estimation of the regression parameters is considered. An asymptotic distribution theory for the regression estimates (the threshold and the re...

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Veröffentlicht in:	Computational statistics 2024-05, Vol.39 (3), p.1165-1181
Hauptverfasser:	Zhang, Yuanqing, Ai, Chunrong, Feng, Yaqin
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic properties Coefficients Data analysis Economic Theory/Quantitative Economics/Mathematical Methods Estimates Estimators Mathematics and Statistics Monte Carlo simulation Original Paper Probability and Statistics in Computer Science Probability Theory and Stochastic Processes Regression Statistics Time series
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