Sample Splitting and Threshold Estimation

By B. Hansen. 2000

2,847 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7fb2c97be5c4b72dc8fe26f02d63ac06da078a55

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In Economics and Econometrics

Citations in the corpus

Resource Curse: New Evidence on the Role of Institutions (2014, methodology): “Hansen (2000) shows that this procedure yields asymptotically correct p values.”
From Supply Chain Integration to Operational Performance: The Moderating Effect of Market Uncertainty (2018, neutral): “…means and a finite variance of 𝜎 and an alternative and more intuitive way of thinking (1) is: 𝑂𝑃 = 𝑢 + 𝛽 𝑆𝐶𝐼 + 𝑒 , 𝑀𝑈 ≤ 𝛾 𝑢 + 𝛽 𝑆𝐶𝐼 + 𝑒 , 𝑀𝑈 > 𝛾 (2) To deal with the individual effect of 𝑢 Hansen (2000) suggests to take averages of the equation (2): 𝑂𝑃 = 𝛽′𝑆𝐶𝐼 (𝛾)…”
INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL (2004, background): “…and asymptotic distributionT for the threshold estimate shown in~18! are the same as in LS estimation of threshold regression models~see Hansen, 2000, Theorem 1!+ The main difference is that in the 2SLS case the scalev ~which inversely determines precision! is proportional to the…”
Hysteretic autoregressive time series models (2015, methodology): “When rL < rU , the regime indicator Rt depends on past observations that are infinitely far away, which renders the hysteretic model different from traditional threshold models (Tong, 1990; Hansen, 2000).”
Subsampling inference in threshold autoregressive models (2005, methodology): “To construct conÞdence intervals for SETAR parameters in discontinuous models, also the approach of Hansen (2000) could be adopted.”
The impact of energy consumption on economic growth: Evidence from linear and nonlinear models in Taiwan (2007, background): “In order to overcome this difficulty, Hansen [44] uses a statistic from his own large sample distribution function to transfer and calculate the asymptotic p-value of a large sample.”
Asymmetric Capital Structure Adjustments: New Evidence from Dynamic Panel Threshold Models (2012, methodology): “To test for the threshold effect, we follow Andrews and Ploberger (1994) and Hansen (1996, 1999, 2000) and develop a bootstrap-based testing procedure, the validity of which is then supported by Monte Carlo simulation studies.”
Dynamic panels with threshold effect and endogeneity (2016, neutral): “[4] We allow for both “fixed threshold effect”and “diminishing or small threshold effect” for statistical inference for the threshold parameter, γ by defining (e.g. Hansen, 2000): δ = δn = δ0n −α for 0 ≤ α 1/2.”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, neutral): “Then, using the same arguments as in the proof of Theorem 5 in Hansen (2000), it is entirely straightforward to prove that pbr,T w→ U [0,1] given the foregoing results.”
Institutions-FDI Nexus in ECOWAS Countries (2016, background): “Based on the classification of the World Bank, natural resources are divided into four components: Oil, Natural Gas, Coal, and Mineral. The total natural resource rent is the summation of all income that is generated from the sales and /or exploration of these natural resources. Lee and Gueye (2015)”