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文章基本信息

  • 标题:Monte Carlo Comparison for Nonparametric Threshold Estimators
  • 本地全文:下载
  • 作者:Chen, Chaoyi ; Sun, Yiguo
  • 期刊名称:Journal of Risk and Financial Management
  • 印刷版ISSN:1911-8074
  • 出版年度:2018
  • 卷号:11
  • 期号:3
  • 页码:1-15
  • 出版社:MDPI, Open Access Journal
  • 摘要: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.
  • 关键词:difference kernel estimator; integrated difference kernel estimator; M-estimation; Monte Carlo; nonparametric threshold regression
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