Hidalgo, Javier; Lee, Heejun; Lee, Jungyoon; Seo, Myung Hwan - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 233-259). 2023
The authors derive a risk lower bound in estimating the threshold parameter without knowing whether the threshold regression model is continuous or not. The bound goes to zero as the sample size n grows only at the cube-root rate. Motivated by this finding, the authors develop a continuity test...