{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T04:17:15Z","timestamp":1759637835252},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2002,5,15]],"date-time":"2002-05-15T00:00:00Z","timestamp":1021420800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,6]]},"abstract":"<jats:p>This paper develops the limit law for the least absolute deviation \nestimator of the threshold parameter in linear regression. In this \nrespect, we extend the literature of threshold models. The existing \nliterature considers only the least squares estimation of the threshold \nparameter (see Chan, 1993, <jats:italic>Annals of Statistics<\/jats:italic> 21, 520\u2013533; \nHansen, 2000, <jats:italic>Econometrica<\/jats:italic> 68, 575\u2013605). This result is \nuseful because in the case of heavy-tailed errors there is an efficiency \nloss resulting from the use of least squares. Also, for the first time in \nthe literature, we derive the limit law for the likelihood ratio test for \nthe threshold parameter using the least absolute deviation technique.<\/jats:p>","DOI":"10.1017\/s0266466602183113","type":"journal-article","created":{"date-parts":[[2002,12,11]],"date-time":"2002-12-11T22:13:26Z","timestamp":1039644806000},"page":"800-814","source":"Crossref","is-referenced-by-count":29,"title":["A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL"],"prefix":"10.1017","volume":"18","author":[{"given":"Mehmet","family":"Caner","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2002,5,15]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602183113","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,4]],"date-time":"2019-04-04T19:50:58Z","timestamp":1554407458000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602183113\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,5,15]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2002,6]]}},"alternative-id":["S0266466602183113"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602183113","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,5,15]]}}}