Threshold regression with nonparametric sample splitting

A-Tier
Journal: Journal of Econometrics
Year: 2023
Volume: 235
Issue: 2
Pages: 816-842

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper develops a threshold regression model where an unknown relationship between two variables nonparametrically determines the threshold. We allow the observations to be cross-sectionally dependent so that the model can be applied to determine an unknown spatial border for sample splitting over a random field. We derive the uniform rate of convergence and the nonstandard limiting distribution of the nonparametric threshold estimator. We also obtain the root-n consistency and the asymptotic normality of the regression coefficient estimator. We illustrate empirical relevance of this new model by estimating the tipping point in social segregation problems as a function of demographic characteristics; and determining metropolitan area boundaries using nighttime light intensity collected from satellite imagery.

Technical Details

RePEc Handle
repec:eee:econom:v:235:y:2023:i:2:p:816-842
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25