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THE BOOTSTRAP IN THRESHOLD REGRESSION

Published online by Cambridge University Press:  01 April 2014

Ping Yu
Ping Yu*
Affiliation:
University of Auckland
*
*Address correspondence and reprint requests to Ping Yu, Department of Economics, 12 Grafton Road, University of Auckland, Auckland, New Zealand. e-mail: p.yu@auckland.ac.nz.
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Abstract

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This paper develops a general procedure to check the bootstrap validity in M-estimation. We apply the procedure in discontinuous threshold regression to show the inconsistency of the nonparametric bootstrap for inference on the threshold point. Especially, the conditional weak limit of the nonparametric bootstrap is shown not to exist. By comparing with two other boundaries in the literature, we show the fact that the threshold point is a boundary of the covariate that makes its bootstrap inference so different. The remedies to the bootstrap failure in the literature are summarized, and the nonparametric posterior interval is suggested by some simulation studies.

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Type
ARTICLES
Information
Econometric Theory , Volume 30 , Issue 3 , June 2014 , pp. 676 - 714
Copyright
Copyright © Cambridge University Press 2014 

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