A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
推导了线性回归中阈值参数的最小绝对离差估计量的极限分布，并首次给出了基于该技术的似然比检验的极限分布，适用于误差重尾情形。
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. The existing literature considers only the least squares estimation of the threshold parameter (see Chan, 1993, Annals of Statistics 21, 520–533; Hansen, 2000, Econometrica 68, 575–605). This result is useful because in the case of heavy-tailed errors there is an efficiency loss resulting from the use of least squares. Also, for the first time in the literature, we derive the limit law for the likelihood ratio test for the threshold parameter using the least absolute deviation technique.