threshold.example

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 <doi:10.48550/arXiv.2312.01162>.

Georg Keilbar

hdthreshold

Inference on Many Jumps in Nonparametric Panel Regression Models

Likai Chen

Liangjun Su

Weining Wang

threshold.example function

<dl><dt>N</dt>
<dd>cross-sectional dimension</dd>
<dt>TL</dt>
<dd>time series length</dd>
<dt>p</dt>
<dd>fraction of non-zero coefficients</dd>
<dt>gamma</dt>
<dd>value of non-zero coefficients</dd></dl>

Arguments

Simulate an example data frame — threshold.example

<dl>

<dt>N</dt>
<dd>cross-sectional dimension</dd>


<dt>TL</dt>
<dd>time series length</dd>


<dt>p</dt>
<dd>fraction of non-zero coefficients</dd>


<dt>gamma</dt>
<dd>value of non-zero coefficients</dd>

</dl>

threshold.example: Simulate an example data frame

Description

Usage

Value

Arguments

Examples