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摘要翻译：
本文建立了一个阈值回归模型，其中两个变量之间的未知关系非参数地决定了阈值。我们允许观测是横截面相关的，因此该模型可以用于确定随机场上样本分裂的未知空间边界。我们得到了非参数阈值估计的一致收敛速度和非标准极限分布。我们还得到了回归系数估计量的根-n相合性和渐近正态性。我们的模型具有广泛的经验相关性，通过估计社会隔离问题的临界点作为人口特征的函数来说明；并利用从卫星图像收集的夜间光线强度来确定大都市区的边界。我们发现新的实证结果与已有的研究有很大的不同。
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英文标题：
《Threshold Regression with Nonparametric Sample Splitting》
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作者：
Yoonseok Lee and Yulong Wang
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最新提交年份：
2021
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
This paper develops a threshold regression model where an unknown relationship between two variables nonparametrically determines the threshold. We allow the observations to be cross-sectionally dependent so that the model can be applied to determine an unknown spatial border for sample splitting over a random field. We derive the uniform rate of convergence and the nonstandard limiting distribution of the nonparametric threshold estimator. We also obtain the root-n consistency and the asymptotic normality of the regression coefficient estimator. Our model has broad empirical relevance as illustrated by estimating the tipping point in social segregation problems as a function of demographic characteristics; and determining metropolitan area boundaries using nighttime light intensity collected from satellite imagery. We find that the new empirical results are substantially different from those in the existing studies.
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PDF链接：
https://arxiv.org/pdf/1905.13140
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