ASU Electronic Theses and Dissertations
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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. 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. However, when unnecessary variables are included in the model or certain variables drop out of the model depending on the regime, this method may have high variability. This paper proposes Lasso-type methods as an alternative to ordinary least …
- van Schaijik, Maria, Kamarianakis, Yiannis, Kamarianakis, Yiannis, et al.
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