阈值回归模型中齐次阈值的检验

IF 1 4区经济学 Q3 ECONOMICS

Econometric Theory Pub Date : 2022-10-28 DOI:10.1017/s0266466622000512

Yoonseok Lee, Yulong Wang

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引用次数: 0

摘要

本文提出了阈值回归模型中阈值参数均匀性的检验方法。该测试具有从时间序列角度的自然解释，并且也可以应用于测试结构断裂模型中的附加变化点。推导了检验统计量的极限分布，并在蒙特卡罗模拟中研究了有限样本特性。我们将新的检验应用于Card、Mas和Rothstein (2008, Quarterly Journal of Economics, 123, 177-218)研究的临界点问题，并从统计上证明了临界点的位置在不同地区是不同的。

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TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS

This paper develops a test for homogeneity of the threshold parameter in threshold regression models. The test has a natural interpretation from time series perspectives and can also be applied to test for additional change points in the structural break models. The limiting distribution of the test statistic is derived, and the finite sample properties are studied in Monte Carlo simulations. We apply the new test to the tipping point problem studied by Card, Mas, and Rothstein (2008, Quarterly Journal of Economics 123, 177–218) and statistically justify that the location of the tipping point varies across tracts.

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来源期刊

Econometric Theory MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.