Threshold models have a wide variety of applications in economics. Direct applications
include models of separating and multiple equilibria. Other applications include empirical …

This paper surveys recent results involving boundary crossing probabilities and related
statistical applications. The first part is concerned with problems of sequential analysis …

This paper studies the least squares estimation of a change point in multiple regressions.
Consistency, rate of convergence, and asymptotic distributions are obtained. The model …

Threshold models (sample splitting models) have wide application in economics. Existing
estimation methods are confined to regression models, which require that all right-hand-side …

This paper addresses an important issue of modeling nonlinear asymmetric dynamics and
unobserved individual heterogeneity in the threshold panel data framework, simultaneously …

Estimators for location and size of a discontinuity or change-point in an otherwise smooth
regression model are proposed. The assumptions needed are much weaker than those …

This book has a distinct philosophy and it is appropriate to make it explicit at the outset. In
our view almost all classic statistical inference is based upon the assumption (explicit or …

Methodology is proposed to uncover structural breaks in functional data that is 'fully
functional'in the sense that it does not rely on dimension reduction techniques. A thorough …

Change-points divide statistical models into homogeneous segments. Inference about
change-points is discussed here in the context of testing the hypothesis of'no change', point …

In a sequence ofn independent random variables the pdf changes fromf (x, 0) tof (x, 0+ δv n−
1) after the firstnλ variables. The problem is to estimateλ∈(0, 1), where 0 and δ are …