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THE BOOTSTRAP IN THRESHOLD REGRESSION
| Content Provider | Scilit |
|---|---|
| Author | Yu, Ping |
| Copyright Year | 2014 |
| Description | This paper develops a general procedure to check the bootstrap validity in M-estimation. We apply the procedure in discontinuous threshold regression to show the inconsistency of the nonparametric bootstrap for inference on the threshold point. Especially, the conditional weak limit of the nonparametric bootstrap is shown not to exist. By comparing with two other boundaries in the literature, we show the fact that the threshold point is a boundary of the covariate that makes its bootstrap inference so different. The remedies to the bootstrap failure in the literature are summarized, and the nonparametric posterior interval is suggested by some simulation studies. |
| Related Links | http://hub.hku.hk/bitstream/10722/202220/1/content.pdf https://core.ac.uk/download/pdf/38054132.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/B62A0AEC654550CB7361BA8B3EA7209D/S0266466614000012a.pdf/div-class-title-the-bootstrap-in-threshold-regression-div.pdf |
| Ending Page | 714 |
| Page Count | 39 |
| Starting Page | 676 |
| ISSN | 02664666 |
| e-ISSN | 14694360 |
| DOI | 10.1017/s0266466614000012 |
| Journal | Econometric Theory |
| Issue Number | 3 |
| Volume Number | 30 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2014-06-01 |
| Access Restriction | Open |
| Subject Keyword | Econometric Theory Cybernetical Science Threshold Regression |
| Content Type | Text |
| Resource Type | Article |
| Subject | Social Sciences Economics and Econometrics |
