Regression Kink With an Unknown Threshold
研究了未知阈值回归扭结模型的估计与推断方法，包括阈值检验、参数推断和回归函数推断，并应用于美国增长与债务问题。
This article explores estimation and inference in a regression kink model with an unknown threshold. A regression kink model (or continuous threshold model) is a threshold regression constrained to be everywhere continuous with a kink at an unknown threshold. We present methods for estimation, to test for the presence of the threshold, for inference on the regression parameters, and for inference on the regression function. A novel finding is that inference on the regression function is nonstandard since the regression function is a nondifferentiable function of the parameters. We apply recently developed methods for inference on nondifferentiable functions. The theory is illustrated by an application to the growth and debt problem introduced by Reinhart and Rogoff, using their long-span time-series for the United States.