STICERD Econometrics Seminar Series
STRUCTURAL STABILITY OF REGRESSION WITH GROWING DIMENSION
Myung Hwan Seo (Seoul National University), joint with ABHIMANYU GUPTA
Thursday 28 March 2019 14:00 - 15:30
Due to the onging coronavirus outbreak, many of our seminars and public events this year will continue as online seminars. Please check our website listings and Twitter feed @STICERD_LSE for updates.
About this event
We develop a class of tests for the structural stability of a regression model, whose dimension grows to inﬁnity, when the time of a structural change is unknown. The nonparametric series regression and the autoregressive model of inﬁnte-order, AR(‡), fall within our framework, not to mention Bekkerfs (1994) asymptotic design. When the number of parameters diverges, the traditional tests such as the supremum of Wald statistics and exponentially weighted averages of Wald statistics diverges as well. However, we show that a suitable transformation of these tests converges to a proper weak limit as the sample size n and the dimension p grows to inﬁnity simultaneously. In general, this limit distribution is diﬀerent from the sequential limit of the traditional asymptotic distribution, which can be obtained by increasing the dimension p in Andrewsfs (1993) or Andrews and Plobergerfs (1994) asymptotic distribution to inﬁnity. We establish an optimality property of our tests under certain regularity conditions. A new result on partial sums of random matrices is also established. We examine ﬁnite-sample performance in a Monte Carlo study and illustrate the test with a number of empirical examples.
STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.
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