Two-stage change-point estimators in smooth regression models

Müller, Hans‐Georg; Song, Kai-Sheng

doi:10.1016/s0167-7152(96)00197-6

Cited by 56 publications

(31 citation statements)

References 9 publications

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“…Using the IDKE procedure to estimate threshold points in the small-threshold-e¤ect framework of Hansen (2000) would be a useful extension of our theory. In a …xed design model with only one covariate, Müller and Song (1997) have shown that the DKE has a similar asymptotic distribution to that of the parametric case.…”

Section: Resultsmentioning

confidence: 91%

Threshold regression with endogeneity

Phillips

2018

Journal of Econometrics

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This paper studies estimation in threshold regression with endogeneity. Three key results di¤er from those in regular models. First, both the threshold point and the threshold e¤ect parameters are shown to be identi…ed without the need for instrumentation. Second, in partially linear threshold models, both parametric and nonparametric components rely on the same data, which prima facie suggests identi…cation failure. But, as shown here, the discontinuity structure of the threshold itself supplies identifying information for the parametric coe¢ cients without the need for extra randomness in the regressors. Third, instrumentation plays di¤erent roles in the estimation of the system parameters, delivering identi…cation for the structural coe¢ cients in the usual way, but raising convergence rates for the threshold e¤ect parameters and improving e¢ ciency for the threshold point. Simulation studies corroborate the theory and the asymptotics. An empirical application is conducted to explore the e¤ects of 401(k) retirement programs on savings, illustrating the relevance of threshold models in treatment e¤ects evaluation in the presence of endogeneity.

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Section: Resultsmentioning

confidence: 91%

Threshold regression with endogeneity

Phillips

2018

Journal of Econometrics

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“…The literature on indirect estimation methods includes Müller (1992), Wu and Chu (1993), Eubank and Speckman (1994), Müller and Song (1997), Qiu and Yandell (1998), Gijbels et al (1999), Kang et al (2000), Gijbels and Goderniaux (2004), among others. Spline estimation of discontinuous regression functions has been discussed in Koo (1997).…”

Section: Introductionmentioning

confidence: 99%

Jump-Preserving Regression and Smoothing using Local Linear Fitting: A Compromise

Gijbels

Lambert

Qiu

2006

AISM

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“…Assumption (A1) is similar to that in Müller and Song (1997). Assumption (A2) is similar to the undersmoothing condition in Claeskens and Van Keilegom (2003); thus, the subinterval…”

Section: Resultsmentioning

confidence: 94%

A jump-detecting procedure based on spline estimation

Yang

2011

Journal of Nonparametric Statistics

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In a random-design nonparametric regression model, procedures for detecting jumps in the regression function via constant and linear spline estimation method are proposed based on the maximal differences of the spline estimators among neighbouring knots, the limiting distributions of which are obtained when the regression function is smooth. Simulation experiments provide strong evidence that corroborates with the asymptotic theory, while the computing is extremely fast. The detecting procedure is illustrated by analysing the thickness of pennies data set.

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Two-stage change-point estimators in smooth regression models

Cited by 56 publications

References 9 publications

Threshold regression with endogeneity

Threshold regression with endogeneity

Jump-Preserving Regression and Smoothing using Local Linear Fitting: A Compromise

A jump-detecting procedure based on spline estimation

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