Nonparametric Threshold Regression : Estimation and Inference ∗

  title={Nonparametric Threshold Regression : Estimation and Inference ∗},
  author={Daniel J. Henderson and Christopher F. Parmeter and Liangjun Su},
The present work describes a simple approach to estimating the location of a threshold/change point in a nonparametric regression. This model has connections both to the time-series and regression discontinuity literatures. The estimator leverages a simple decomposition, giving it the form of a semiparametric smooth coefficient model. Optimal bandwidth selection and a suite of testing facilities are also presented. Several empirical examples are provided to illustrate the implementation of the… CONTINUE READING

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