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Article: The bootstrap in threshold regression

TitleThe bootstrap in threshold regression
Authors
Issue Date2014
PublisherCambridge. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ECT
Citation
Econometric Theory, 2014, v. 30, n. 3, p. 676-714 How to Cite?
AbstractThis 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. Copyright © Cambridge University Press 2014.
Persistent Identifierhttp://hdl.handle.net/10722/202220
ISSN
2015 Impact Factor: 1.162
2015 SCImago Journal Rankings: 2.219
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorYu, Ping-
dc.date.accessioned2014-08-22T02:57:49Z-
dc.date.available2014-08-22T02:57:49Z-
dc.date.issued2014-
dc.identifier.citationEconometric Theory, 2014, v. 30, n. 3, p. 676-714-
dc.identifier.issn0266-4666-
dc.identifier.urihttp://hdl.handle.net/10722/202220-
dc.description.abstractThis 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. Copyright © Cambridge University Press 2014.-
dc.languageeng-
dc.publisherCambridge. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ECT-
dc.relation.ispartofEconometric Theory-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleThe bootstrap in threshold regression-
dc.typeArticle-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1017/S0266466614000012-
dc.identifier.scopuseid_2-s2.0-84900818661-
dc.identifier.volume30-
dc.identifier.issue3-
dc.identifier.spage676-
dc.identifier.epage714-
dc.identifier.eissn1469-4360-
dc.identifier.isiWOS:000338298800006-

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