This paper studies likelihood-based estimation and inference in parametric discontinuous
threshold regression models with iid data. The setup allows heteroskedasticity and threshold …

This paper proposes a nonlinear panel data model which can endogenously generate both
'weak'and 'strong'cross-sectional dependence. The model's distinguishing characteristic is …

Evidence of lengthy half‐lives for real exchange rates in the presence of a high degree of
exchange rate volatility has been considered as one of the most puzzling empirical …

The inference of the threshold point in threshold models critically depends on the
assumption that the density of the threshold variable at the true threshold point is continuous …

This paper puts forward a unified framework for asymptotically optimal tests in parametric
models and applies the new theory to two tests. The first test is a classical test in locally …