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Frequentist model averaging for threshold models |
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| Authors: | Gao Yan Zhang Xinyu Wang Shouyang Chong Terence Tai-leung Zou Guohua |
| Affiliation: | 1.Department of Statistics, College of Science, Minzu University of China, Beijing, 100081, China ;2.Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China ;3.Department of Economics, The Chinese University of Hong Kong, Shatin, Hong Kong ;4.School of Mathematical Sciences, Capital Normal University, Beijing, 100048, China ; |
| Abstract: | Annals of the Institute of Statistical Mathematics - This paper develops a frequentist model averaging approach for threshold model specifications. The resulting estimator is proved to be... |
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