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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 Bekkerfs (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 Andrewsfs (1993) or Andrews and Plobergerfs (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.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.

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