英文标题：
《Nonparametric Regression with Multiple Thresholds: Estimation and
Inference》
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作者：
Yan-Yu Chiou, Mei-Yuan Chen, Jau-er Chen
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最新提交年份：
2018
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英文摘要：
This paper examines nonparametric regression with an exogenous threshold variable, allowing for an unknown number of thresholds. Given the number of thresholds and corresponding threshold values, we first establish the asymptotic properties of the local constant estimator for a nonparametric regression with multiple thresholds. However, the number of thresholds and corresponding threshold values are typically unknown in practice. We then use our testing procedure to determine the unknown number of thresholds and derive the limiting distribution of the proposed test. The Monte Carlo simulation results indicate the adequacy of the modified test and accuracy of the sequential estimation of the threshold values. We apply our testing procedure to an empirical study of the 401(k) retirement savings plan with income thresholds.
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中文摘要：
本文研究了具有外生阈值变量的非参数回归，允许未知数量的阈值。在给定阈值个数和相应阈值的情况下，我们首先建立了具有多个阈值的非参数回归的局部常数估计的渐近性质。然而，在实践中，阈值的数量和相应的阈值通常是未知的。然后，我们使用我们的测试程序来确定未知数量的阈值，并推导出拟议测试的极限分布。蒙特卡罗模拟结果表明了修正检验的充分性和阈值序贯估计的准确性。我们将我们的测试程序应用于具有收入阈值的401（k）退休储蓄计划的实证研究。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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