Sokbae 'Simon' Lee; Seo, Myung Hwan; Shin, Youngki - Centre for Microdata Methods and Practice (CEMMAP) - 2010
In this article, we develop a general method for testing threshold effects in regression models, using sup-likelihood-ratio (LR)-type statistics. Although the sup-LR-type test statistic has been considered in the literature, our method for establishing the asymptotic null distribution is new and...