Nonparametric regression with multiple thresholds: Estimation and inference
多门槛非参数回归的估计与推断
This paper examines nonparametric regression with an exogenous threshold variable, allowing for an unknown number of thresholds. Given the number of thresholds and corresponding threshold values, we first establish the asymptotic properties of the local constant estimator for a nonparametric regression with multiple thresholds. However, the number of thresholds and corresponding threshold values are typically unknown in practice. We then use our testing procedure to…