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Article: The bootstrap in threshold regression
| Title | The bootstrap in threshold regression |
|---|---|
| Authors | |
| Issue Date | 2014 |
| Publisher | Cambridge. 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? |
| Abstract | 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. Copyright © Cambridge University Press 2014. |
| Persistent Identifier | http://hdl.handle.net/10722/202220 |
| ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 1.393 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Yu, Ping | - |
| dc.date.accessioned | 2014-08-22T02:57:49Z | - |
| dc.date.available | 2014-08-22T02:57:49Z | - |
| dc.date.issued | 2014 | - |
| dc.identifier.citation | Econometric Theory, 2014, v. 30, n. 3, p. 676-714 | - |
| dc.identifier.issn | 0266-4666 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/202220 | - |
| dc.description.abstract | 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. Copyright © Cambridge University Press 2014. | - |
| dc.language | eng | - |
| dc.publisher | Cambridge. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ECT | - |
| dc.relation.ispartof | Econometric Theory | - |
| dc.title | The bootstrap in threshold regression | - |
| dc.type | Article | - |
| dc.description.nature | published_or_final_version | - |
| dc.identifier.doi | 10.1017/S0266466614000012 | - |
| dc.identifier.scopus | eid_2-s2.0-84900818661 | - |
| dc.identifier.volume | 30 | - |
| dc.identifier.issue | 3 | - |
| dc.identifier.spage | 676 | - |
| dc.identifier.epage | 714 | - |
| dc.identifier.eissn | 1469-4360 | - |
| dc.identifier.isi | WOS:000338298800006 | - |
| dc.identifier.issnl | 0266-4666 | - |