Testing for Threshold Effects in Regression Models

  title={Testing for Threshold Effects in Regression Models},
  author={Sokbae (Simon) Lee and Myung Hwan Seo and Youngki Shin},
  journal={Journal of the American Statistical Association},
  pages={220 - 231}
In this article, we develop a general method for testing threshold effects in regression models, using sup-likelihood-ratio (LR)-type statistics. Although the sup-LR-type test statistic has been considered in the literature, our method for establishing the asymptotic null distribution is new and nonstandard. The standard approach in the literature for obtaining the asymptotic null distribution requires that there exist a certain quadratic approximation to the objective function. The article… 

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