Estimation of threshold parameters in (generalized) threshold regression models is typically performed by maximizing the corresponding profile likelihood function. Also, certain Bayesian techniques based on non-informative priors are developed and widely used. This article draws attention to...

The threshold vector error correction model is a popular tool for the analysis of spatial price transmission and market integration. In the literature, the profile likelihood estimator is the preferred choice for estimating this model. Yet, in certain settings this estimator performs poorly. In...

There are two popular smoothing parameter selection methods for spline smoothing. First, criteria that approximate the average mean squared error of the estimator (e.g. generalized cross validation) are widely used. Alternatively, the maximum likelihood paradigm can be employed under the...

In this paper we construct simultaneous confidence bands for a smooth curve using penalized spline estimators. We consider three types of estimation methods: (i) as a standard (fixed effect) nonparametric model, (ii) using the mixed model framework with the spline coefficients as random effects...

In this paper we construct simultaneous confidence bands for a smooth curve using penalized spline estimators. We consider three types of estimation methods: (i) as a standard (fixed effect) nonparametric model, (ii) using the mixed model framework with the spline coefficients as random effects...

This article develops a unified framework to study the (asymptotic) properties of (periodic) spline based estimators, that is of regression, penalized and smoothing splines. We obtain an explicit form of the Demmler-Reinsch basis of general degree in terms of exponential splines and...

We present a nonparametric method to decompose a times series into trend, seasonal and remainder components. This fully data-driven technique is based on penalized splines and makes an explicit characterization of the varying seasonality and the correlation in the remainder. The procedure takes...

This article proposes a simple and fast approach to build simultaneous confi dence bands and perform specification tests for smooth curves in additive models. The method allows for handling of spatially heterogeneous functions and its derivatives as well as heteroscedasticity in the data. It is...