Speaker:Lorenzo Trapani, professor, School of Economics, University of Nottingham

Date:October. 18, 2022

Time:16:30-17:30

Location:Tencent Meeting

Sponsor:Shandong University Institute for Financial Studies

Abstract:We study inference for threshold regression in the context of a large panel factor model with common stochastic trends. We develop a Least Squares estimator for the threshold level, deriving almost sure rates ofconvergence and proposing a novel, testing based, way of constructing confidence intervals. We also investigate the properties of the PC estimator for the loadings and common factors in both regimesand develop a procedure to estimate the number of common trends in each regime. Our theoretical findings are corroborated through a comprehensive set of Monte Carlo experiments and an application to US mortality data.

For more information, please visit:

http://mathfinance.sdu.edu.cn/info/1273/6622.htm