Publication Type

Journal Article

Publication Date

3-2017

Abstract

Economic theory often predicts a “tipping point” effect due to multiple equilibria. Linear threshold regressions estimate the “tipping point” by assuming at the same time that the response variable is linear in an index of covariates. However, economic theory rarely imposes a specific functional form, but rather predicts a monotonic relationship between the response variable and the index. We propose new, rank-based, estimators for both the “tipping point” and other regression coefficients, exploiting only the monotonicity condition. We derive the asymptotic properties of these estimators by establishing a more general result for M-estimators of U-processes with a change-point due to a covariate threshold. We finally apply our method to provide new estimates of the “tipping point” of social segregation in four major cities in the United States.

Keywords

Simulation-based inference, bootstrap, monotone rank estimator, partial rank estimator

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Business and Economic Statistics

First Page

1

Last Page

37

ISSN

0735-0015

Identifier

10.1080/07350015.2017.1319373

Publisher

Taylor & Francis: STM, Behavioural Science and Public Health Titles

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org./10.1080/07350015.2017.1319373

Included in

Econometrics Commons

Share

COinS