Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238880 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 11 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-15
Publisher: 
MDPI, Basel
Abstract: 
This paper compares the finite sample performance of three non-parametric threshold estimators via the Monte Carlo method. Our results indicate that the finite sample performance of the three estimators is not robust to the position of the threshold level along the distribution of the threshold variable, especially when a structural change occurs at the tail part of the distribution.
Subjects: 
difference kernel estimator
integrated difference kernel estimator
M-estimation
Monte Carlo
nonparametric threshold regression
JEL: 
C14
C21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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