Variable selection in threshold model with a covariate-dependent threshold
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00181-022-02340-3.pdf
Reference21 articles.
1. Bertsimas D, King A, Mazumder R (2016) Best subset selection via a modern optimization lens. Ann Stat 44(2):813–850
2. Buhlmann PL, van de Geer S (2011) Statistics for high-dimensional data: methods, theory and applications. Springer, New York
3. Callot L, Caner M, Kock AB, Riquelme JA (2017) Sharp threshold detection based on sup-norm error rates in high-dimensional models. J Bus Econ Stat 35(2):250–264
4. Chen H (2015) Robust estimation and inference for threshold models with integrated regressors. Econom Theory 31(4):778–810
5. Dueker MJ, Psaradakis Z, Sola M (2013) State-dependent threshold smooth transition autoregressive models. Oxf Bull Econ Stat 75(6):835–854
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