# A Smoothed Least Squares Estimator for Threshold Regression Models

@article{Linton2005ASL, title={A Smoothed Least Squares Estimator for Threshold Regression Models}, author={Oliver B. Linton and Myung Hwan Seo}, journal={London School of Economics \& Political Science STICERD Research Papers Series}, year={2005} }

## 129 Citations

### A GMM Estimator for Linear Index Threshold Model

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- 2019

This paper investigates the linear index threshold regression model with endogeneity. We propose a two-step GMM estimation method to estimate the model, which allows both the threshold variable and…

### STRUCTURAL THRESHOLD REGRESSION

- Economics, MathematicsEconometric Theory
- 2016

This paper introduces the structural threshold regression (STR) model that allows for an endogenous threshold variable as well as for endogenous regressors. This model provides a parsimonious way of…

### Structural Threshold Quantile Regression

- Mathematics, Economics
- 2012

In this paper, a simultaneous equation model with an endogenous variable and an exogenous threshold variable is analysed and estimated thereby extending Caner and Hansen (2004) model to quantile…

### Semi�?Parametric Estimation of a Generalized Threshold Regression Model Under Conditional Quantile Restriction

- Mathematics, Economics
- 2013

We consider semi‐parametric estimation of a generalized threshold regression model with both the link function and the error term distribution left unspecified. We propose for the model a maximum…

### ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS

- Mathematics, EconomicsEconometric Theory
- 2015

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the…

### Threshold Regression Without Distribution Assumption When the Threshold Variable is Endogenous

- Economics, Mathematics
- 2009

In this paper, we propose a semi-parametric approach to estimate threshold models without the reliance of distribution assumption when the threshold variable is endogenous. Early threshold models…

### Estimation of a threshold autoregressive model under misspecification

- Mathematics
- 2011

This paper obtains an asymptotic distribution for the least squares estimator of the self-exciting threshold autoregressive model, which was introduced by Tong (1983), under the assumption that the…

### Endogeneity in Semiparametric Threshold Regression Model With Two Threshold Variables

- Economics, MathematicsSSRN Electronic Journal
- 2021

This paper considers a semiparametric threshold regression model with two threshold variables, extending Chen et al. (2012) and Kourtellos et al. (2021). The proposed model allows the endogeneity for…

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