【主讲】Ping Yu (University of Hong Kong)
【主题】Threshold Regression With A Threshold Boundary
【时间】2015年4月24日 (周五) 15：30-17：00
【地点】上海财经大学经济学院楼807室
【语言】英文
【摘要】This paper studies computation, estimation, inference and speci cation testing in threshold regression with a threshold boundary. First, we put forward a new algorithm to ease the computation of the threshold boundary. Second, we develop the asymptotics for the least squares estimator in both the xed-threshold-e¤ect framework and the shrinking-threshold-e¤ect framework. Third, we show that the inverting-likelihood-ratio method is not suitable to construct con dence sets for the threshold parameters, while the nonparametric posterior interval is still applicable. Fourth, we propose a new score-type test in testing the existence of threshold e¤ects. Comparing with the usual Wald-type test, it is computationally less intensive, and its critical values are easier to obtain by the simulation method. Simulation studies corroborate the theoretical results. Finally, an empirical application is conducted to explore the e¤ects of 401(k) retirement programs on savings, illustrating the relevance of the 401(k) participation status in determining the threshold boundary.
