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Book part
Publication date: 24 April 2023

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Essays in Honor of Joon Y. Park: Econometric Theory
Type: Book
ISBN: 978-1-83753-209-4

Book part
Publication date: 24 April 2023

Javier Hidalgo, Heejun Lee, Jungyoon Lee and Myung Hwan Seo

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…

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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.

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Essays in Honor of Joon Y. Park: Econometric Theory
Type: Book
ISBN: 978-1-83753-209-4

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Book part
Publication date: 1 January 2014

Javier Hidalgo and Jungyoon Lee

This paper examines a nonparametric CUSUM-type test for common trends in large panel data sets with individual fixed effects. We consider, as in Zhang, Su, and Phillips (2012), a…

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This paper examines a nonparametric CUSUM-type test for common trends in large panel data sets with individual fixed effects. We consider, as in Zhang, Su, and Phillips (2012), a partial linear regression model with unknown functional form for the trend component, although our test does not involve local smoothings. This conveniently forgoes the need to choose a bandwidth parameter, which due to a lack of a clear and sensible information criteria is difficult for testing purposes. We are able to do so after making use that the number of individuals increases with no limit. After removing the parametric component of the model, when the errors are homoscedastic, our test statistic converges to a Gaussian process whose critical values are easily tabulated. We also examine the consequences of having heteroscedasticity as well as discussing the problem of how to compute valid critical values due to the very complicated covariance structure of the limiting process. Finally, we present a small Monte Carlo experiment to shed some light on the finite sample performance of the test.

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Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

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Book part
Publication date: 21 November 2014

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Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

Book part
Publication date: 21 November 2014

Abstract

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Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

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