Statistics Seminar（2015-12）

Topic：Heteroscedasticity and Autocorrelation Robust Structural Change Detection

Speaker：Zhou Zhou, University of Toronto

Time：Monday, 29th June, 14:00-15:00

Location：Room 217, Guanghua Building 2

Abstract: The assumption of (weak) stationarity is crucial for the validity of most of the conventionaltests of structure change in time series. Under complicated nonstationary temporal dynamics, we argue that traditional testing procedures result in mixed structural change signals of the first and second order and hence could lead to biased testing results. We propose a simple and unified bootstrap testing procedure that provides consistent testing results under general forms of smooth and abrupt changes in the temporal dynamics of the time series.Your participation is warmly welcomed!