Linear threshold models are popularly estimated by the least-squares (LS) method, but the resultedthreshold parameter estimator has a non-standard limiting distribution which makes statistical inference less straightforward. Seo and Linton (2007) introduce a smoothed least-squares (SLS)...

This article examines the impact of illiquidity levels on corporate bond pricing with a novel international dataset, including both advanced and emerging economies. Results show that less liquid corporate bonds which possess wider bid-ask spreads display higher expected returns and credit...

In the presence of fixed threshold effects, the least squares (LS) estimator of the threshold parameter poses challenges for statistical inference due to its non-standard limiting distribution, which also presents challenges for bootstrap methods. To address this issue, we propose a novel...

This paper uses the 1998-99 Canadian National Population Health Survey (NPHS) data to examine the health-income relationship that underlies the absolute income hypothesis. To allow for nonlinearity and data heterogeneity, we use a partially linear semiparametric quantile regression model. The...