TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS

Yoonseok Lee; Yulong Wang

doi:10.1017/S0266466622000512

TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS

Yoonseok Lee, Yulong Wang

Department of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

This paper develops a test for homogeneity of the threshold parameter in threshold regression models. The test has a natural interpretation from time series perspectives and can also be applied to test for additional change points in the structural break models. The limiting distribution of the test statistic is derived, and the finite sample properties are studied in Monte Carlo simulations. We apply the new test to the tipping point problem studied by Card, Mas, and Rothstein (2008, Quarterly Journal of Economics 123, 177-218) and statistically justify that the location of the tipping point varies across tracts.

Original language	English (US)
Pages (from-to)	608-651
Number of pages	44
Journal	Econometric Theory
Volume	40
Issue number	3
DOIs	https://doi.org/10.1017/S0266466622000512
State	Published - Jun 28 2024

ASJC Scopus subject areas

Social Sciences (miscellaneous)
Economics and Econometrics

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abstract = "This paper develops a test for homogeneity of the threshold parameter in threshold regression models. The test has a natural interpretation from time series perspectives and can also be applied to test for additional change points in the structural break models. The limiting distribution of the test statistic is derived, and the finite sample properties are studied in Monte Carlo simulations. We apply the new test to the tipping point problem studied by Card, Mas, and Rothstein (2008, Quarterly Journal of Economics 123, 177-218) and statistically justify that the location of the tipping point varies across tracts.",

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AB - This paper develops a test for homogeneity of the threshold parameter in threshold regression models. The test has a natural interpretation from time series perspectives and can also be applied to test for additional change points in the structural break models. The limiting distribution of the test statistic is derived, and the finite sample properties are studied in Monte Carlo simulations. We apply the new test to the tipping point problem studied by Card, Mas, and Rothstein (2008, Quarterly Journal of Economics 123, 177-218) and statistically justify that the location of the tipping point varies across tracts.

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TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS

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