A new estimation method for continuous threshold expectile model. Issue 8 (14th September 2018)

• Record Type: Journal Article
• Authors: Zhou, Xiaoying; Zhang, Feipeng
• Is Part Of: Communications in statistics. Volume 47:Issue 8(2018)
• Page Start: 2486
• Page End: 2498
• Publication Date: 2018-09-14
• Subjects: Continuous threshold expectile model -- Linearization technique -- Threshold; 62F10 -- 62J99; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2017.1383424
• Languages: English
• ISSNs: 0361-0918

Abstract

ABSTRACT: The continuous threshold expectile regression model could capture the effect of a covariate on the response variable with two different straight lines, while intersecting an unknown threshold needed be estimated. This article proposes a new estimation method via a linearization technique to estimate the regression coefficients and the threshold simultaneously. Statistical inferences of the proposed estimators are easily derived from the existing theory. Moreover, the estimation procedure is readily implemented by the current software. Simulation studies and an application on GDP per capita and quality of electricity supply data illustrate the proposed method.