Speaker: Wu Jilin, Professor, the Center for Economic Research, Shandong University

Date: June 14, 2018

Time: 2:30 pm - 4:30 pm

Location: B423, Block B, Zhixin Building, Central Campus

Sponsor: the School of Economics

Abstract:

This paper proposes a nonparametric test for structural changes in linear regression models that allows for serial correlation, conditional heteroskedasticity and time-varying variance inerror terms. The test requires no trimming of the boundary region near the end points of the sample period, and requires no prior information on the alternative, what it requires is the transformed OLS residuals under the null hypothesis. We show that the test has a limiting standard normal distribution under the null hypothesis, and is powerful against single break, multiple breaks and smooth structural changes. We advocate using a wild bootstrap method to improve its size performance in finite samples. Finally, a Monte Carlo experiment is conducted to highlight the merits of the proposed test relative to other popular tests for structural changes.

Bio:

Professor Wu Jilin mainly engaged in research on the theory of financial time series and on its application. He has obtained his PhD in 2010 at Xiamen University and delivered over twenty academic articles inJ ournal of Times Series Analysis,Econometrics Journal, Economics Letters, The Quarterly Journal of Economics, The Journal of World Economy, Journal of Management Sciences in China, etc.

For more information, please visit:

http://www.view.sdu.edu.cn/info/1020/105328.htm

Edited by: Zhang Kaige, Song Yijun