Publication Type

Working Paper

Publication Date

1-2015

Abstract

The present work describes a simple approach to estimating the location of a threshold/changepoint in a nonparametric regression. This model has connections both to the time-series and regressiondiscontinuity literatures. The estimator leverages a simple decomposition, giving it the form of asemiparametric smooth coefficient model. Optimal bandwidth selection and a suite of testing facilitiesare also presented. Several empirical examples are provided to illustrate the implementation of themethods discussed here.

Keywords

Change Point, Local Average Treatment Effect, Nonparametric Threshold Regression, Regression Discontinuity, Smoothed Bootstrap, Structural Change

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

62

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://www.albany.edu/economics/research/seminar/files/Henderson.pdf

Included in

Econometrics Commons

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