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 …

We propose a smoothed least squares estimator of the parameters of a threshold regression
model. Our model generalizes that considered in Hansen [2000. Sample splitting and …

This article studies computation, estimation, inference, and testing for linearity in threshold
regression with a threshold boundary. We first put forward a new algorithm to ease the …

This paper studies estimation in threshold regression with endogeneity in the regressors
and thresholding variable. Three key results differ from those in regular models. First, both …

This paper develops the limit law for the least absolute deviation estimator of the threshold
parameter in linear regression. In this respect, we extend the literature of threshold models …

Likelihood ratio tests for threshold autoregression have been considered by Chan, and
Chan and Tong. However, except for the simplest case, percentage points of the …

Many score statistics used for testing trends in means, either based on the observed values
of the response variables or their ranks, can be expressed in terms of quadratic forms. This …

Using some recently obtained theoretical results of the asymptotic null distribution of the
likelihood ratio (LR) test for threshold autoregression, we assess the performance of the test …

A score-type statistic, T s, is introduced for testing H: ψ= 0 against K: ψ≥ 0 and more general
one-sided hypotheses when nuisance parameters may be present; ψ is a vector parameter …

Threshold models (sample splitting models) have wide application in economics. Existing
estimation methods are confined to regression models, which require that all right-hand-side …