We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the <I>ℓ</I><SUB>∞</SUB> estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...</sub></i>

In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the sup-norm estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on highdimensional models has...

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the <I>ℓ</I><SUB>∞</SUB> estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...</sub></i>

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the l∞ estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...