Joint Econometrics and Statistics Workshop
Sequential Testing for Structural Stability in Approximate Factor Models
Lorenzo Trapani (Cass Business School), joint with Matteo Barigozzi
Friday 10 March 2017 12:00 - 13:00
Leverhulme Library, COL 6.15, 6th Floor, Columbia House, LSE, 69 Aldwych, London WC2B 4RR
Many of our seminars and public events this year will continue as online seminars or as online and in person. Please check our website listings and Twitter feed @STICERD_LSE for updates.
Unless otherwise specified, current restrictions mean in-person seminars are only open to members of the LSE community (those with a valid LSE ID card).
Those unable to join the seminars in-person are welcome to participate via zoom.
About this event
We develop a a family of monitoring procedures to detect a change in a large factor model. Our statistics are based on the following property of the (r+1)-th eigenvalue of the sample covariance matrix of the data: whilst under the null the (r+1)-th eigenvalue is bounded, under the alternative of a change (either in the loadings, or in the number of factors itself) it becomes spiked. Given that the sample eigenvalue does not have a known limiting distribution under the null, we regularise the problem by randomising the test statistic in conjunction with sample conditioning, obtaining a sequence of i.i.d., asymptotically chi-squared statistics which are then employed to build the monitoring scheme. Numerical evidence shows that our procedure works very well in finite samples, with a very small probability of false detections and tight detection times in presence of a genuine change point.
Econometrics and Statistics seminars are held on Fridays in term time at 12:00-13:00, ONLINE, unless specified otherwise.
Seminar organisers: Dr Tatiana Komarova and Dr Yunxiao Chen.
For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.
Please use this link to subscribe or unsubscribe to the Econometrics and Statistics seminars mailing list (stats).
This event will take place in Leverhulme Library, COL 6.15, 6th Floor, Columbia House, LSE, 69 Aldwych, London WC2B 4RR. The building is labelled on the map.
