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Threshold regression is used to model regime switching dynamics where the effects of the explanatory variables in predicting the response variable depend on whether a certain threshold has been crossed.

Threshold regression is used to model regime switching dynamics where the effects of the explanatory variables in predicting the response variable depend on whether a certain threshold has been crossed. When regime-switching dynamics are present, new estimation problems arise related to estimating the value of the threshold. Conventional methods utilize an iterative search procedure, seeking to minimize the sum of squares criterion.

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    Date Created
    • 2015
    Resource Type
  • Text
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    • Partial requirement for: M.S., Arizona State University, 2015
      Note type
      thesis
    • Includes bibliographical references (page 27)
      Note type
      bibliography
    • Field of study: Industrial engineering

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    by Maria van Schaijik

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