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hdthreshold (version 1.0.0)

Inference on Many Jumps in Nonparametric Panel Regression Models

Description

Provides uniform testing procedures for existence and heterogeneity of threshold effects in high-dimensional nonparametric panel regression models. The package accompanies the paper Chen, Keilbar, Su and Wang (2023) "Inference on many jumps in nonparametric panel regression models". arXiv preprint .

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Version

Install

install.packages('hdthreshold')

Monthly Downloads

109

Version

1.0.0

License

MIT + file LICENSE

Maintainer

Georg Keilbar

Last Published

December 23rd, 2024

Functions in hdthreshold (1.0.0)

simulation.pooled

Monte Carlo simulation for pooled test of existence of threshold effects
simulation.unknown

Monte Carlo simulation for uniform test of existence of threshold effects under unknown threshold location
simulation.derivative

Monte Carlo simulation for existence of derivative threshold effects under known threshold location
threshold.derivative.test

Uniform test for existence of derivative threshold effects
simulation.threshold

Monte Carlo simulation for existence of threshold effects under known threshold location
simulation.hetero

Monte Carlo simulation for heterogeneity of threshold effects under known threshold location
MAinf_normal

Simulate an MA infinity process with algrebraic decay
threshold.test

Uniform test for existence of threshold effects
threshold.example

Simulate an example data frame
threshold.heterogeneity.test

Uniform test for heterogeneity of threshold effects
K

Uniform kernel function