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Journal of Business & Economic Statistics Volume 35, 2017 - Issue 2: Regime Switching and Threshold Models
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Original Articles

Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models

Laurent CallotDepartment of Econometrics and Operations Research, VU University Amsterdam, CREATES, and the Tinbergen Institute, Amsterdam, The Netherlands([email protected])
,
Mehmet CanerDepartment of Economics, Translational Data Analytics, Department of Statistics, 452 Arps Hall, Ohio State University, Columbus, OH43210 ([email protected])
,
Anders Bredahl KockDepartment of Economics and Business, Aarhus University, Aarhus, Denmark, and CREATES ([email protected])
&
Juan Andres RiquelmeDepartment of Economics,, University of Talca, Chile([email protected])
Pages 250-264 | Received 01 Feb 2015, Published online: 13 Mar 2017

Citations (5)

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Read on this site (2)

Kashif Yousuf & Yang Feng. (2022) Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting. Journal of Business & Economic Statistics 40:3, pages 1007-1019.
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Sokbae Lee, Yuan Liao, Myung Hwan Seo & Youngki Shin. (2018) Oracle Estimation of a Change Point in High-Dimensional Quantile Regression. Journal of the American Statistical Association 113:523, pages 1184-1194.
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Articles from other publishers (3)

Lixiong Yang. (2022) Variable selection in threshold model with a covariate-dependent threshold. Empirical Economics 65:1, pages 189-202.
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Lixiong Yang. (2022) High dimensional threshold model with a time-varying threshold based on Fourier approximation. Studies in Nonlinear Dynamics & Econometrics 0:0.
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Bo-wen Li, Yun-qi Zhang & Nian-sheng Tang. (2020) Robust Variable Selection and Estimation in Threshold Regression Model. Acta Mathematicae Applicatae Sinica, English Series 36:2, pages 332-346.
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