Econometrics Seminar Series | Detecting structural breaks in high-dimensional functional time series by Hanlin Shang – School of Economics Econometrics Seminar Series | Detecting structural breaks in high-dimensional functional time series by Hanlin Shang – School of Economics

Econometrics Seminar Series | Detecting structural breaks in high-dimensional functional time series by Hanlin Shang

 Invites you to a

Econometrics seminar presented by

Hanlin Shang
(Macquarie University)

Detecting structural breaks in high-dimensional functional time series 

Wednesday 10 May 2023

2.00pm – 3.30pm

Level 6 Seminar Room (650)

A02 Social Sciences Building
Camperdown Campus

The University of Sydney NSW 2006

Zoom: 890 8733 6882

In this paper, we consider detecting breaks in heterogeneous mean functions of high-dimensional functional time series which are allowed to be cross-sectionally correlated and temporally dependent. A new test statistic combining the functional CUSUM quantity and power enhancement component is proposed with asymptotic null distribution theory comparable to the conventional CUSUM theory derived for a single functional time series. In particular, the extra power enhancement component enlarges the region where the proposed test has power, and results in stable power performance when breaks are sparse in the alternative hypothesis. Furthermore, we impose a latent group structure on the subjects with heterogenous break points and introduce an easy-to-implement clustering algorithm with an information criterion to consistently estimate the unknown group number and membership. The estimated group structure can subsequently improve the convergence property of the homogenous break point estimate (within the group). Monte-Carlo simulation studies and an empirical application show that the proposed estimation and testing techniques have satisfactory performance in finite samples. 

For further information contact: Econometrics seminar series coordinator Dr Ye Lu (ye.lu1@sydney.edu.au)

For all upcoming seminars in School of Economics see Our events and Calendar

Date

May 10 2023
Expired!

Time

2:00 pm - 3:30 pm

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