M-Estimators of U-Processes With a Change-Point Due to a Covariate Threshold
Bibliographic Data
| ID | 19418741 |
|---|---|
| Authors | Lili Tan (0000-0003-1560-9305, Yunnan University), Yichong Zhang (0000-0002-0677-7203, Economics, Singapore Management University, Singapore ()) |
| Year | 2019 |
| Volume | 37 |
| Issue | 2 |
| Pages | 248-259 |
| Publication date | 2019-04-03 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2017.1319373 |
| OpenAlex | W2652940081 |
| Language | EN |
| References cited | 36 |
Economic theory often predicts a “tipping point” effect due to multiple equilibria. Linear threshold regressions estimate the “tipping point” by assuming at the same time that the response variable is linear in an index of covariates. However, economic theory rarely imposes a specific functional form, but rather predicts a monotonic relationship between the response variable and the index. We propose new, rank-based, estimators for both the “tipping point” and other regression coefficients, exploiting only the monotonicity condition. We derive the asymptotic properties of these estimators by establishing a more general result for M-estimators of U-processes with a change-point due to a covariate threshold. We finally apply our method to provide new estimates of the “tipping point” of social segregation in four major cities in the United States.
Combinatorics · Covariate · Econometrics · Estimator · Linear regression · Mathematical analysis · Monotonic function · Statistics · Computer Science · Economics of Agriculture and Food Markets · Mathematics · Spatial and Panel Data Analysis · Statistical Methods and Inference
Introduction to Empirical Processes and Semiparametric Inference
An Introduction to the Bootstrap
Weak Convergence and Empirical Processes
Sample Splitting and Threshold Estimation
Estimating and Testing Linear Models with Multiple Structural Changes
Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model
Multiple regimes and cross‐country growth behaviour
Tipping and the Dynamics of Segregation
Dynamic models of segregation
| Highly cited | No |
|---|