A new estimation method for continuous threshold expectile model

ABSTRACT

The continuous threshold expectile regression model could capture the effect of a covariate on the response variable with two different straight lines, while intersecting an unknown threshold needed be estimated. This article proposes a new estimation method via a linearization technique to estimate the regression coefficients and the threshold simultaneously. Statistical inferences of the proposed estimators are easily derived from the existing theory. Moreover, the estimation procedure is readily implemented by the current software. Simulation studies and an application on GDP per capita and quality of electricity supply data illustrate the proposed method.

KEYWORDS:

• Continuous threshold expectile model
• Linearization technique
• Threshold

MATHEMATICS SUBJECT CLASSIFICATION:

• 62F10
• 62J99