Department Events Calendar

Seminars and Workshops

Mar
12
Fri
3:30pm - 5:00pm
Host: Ivan Korolev


"Robust Inference on Infinite and Growing Dimensional Regression" (with Myung Hwan 'Matt' Seo)

Abstract: We develop a class of tests for a growing number of restrictions in infinite and increasing order time series models such as infinite-order autoregression, nonparametric sieve regression and multiple regression with growing dimension. Examples includes the Chow test, Andrews and Ploberger (1994) type exponential
tests, and testing of general linear restrictions of growing rank p. Notably, our tests introduce a new scale correction to the conventional quadratic forms that are recentered and normalized to account for diverging p. This correction captures high-order autocovariances that emerge as p grows with sample size in time series regression. Furthermore, we propose a bias correction by a null-imposed bootstrap to control finite sample bias without sacrificing power unduly. A simulation study stresses the importance of robustifying testing procedures against high-order autocovariances even when p is moderate. The tests are illustrated with an application to the oil regression in Hamilton (2003).
Mar
19
Fri
3:30pm - 5:00pm
Host: Neha Khanna
Mar
26
Fri
3:30pm - 5:00pm
Host: Plamen Nikolov
Apr
9
Fri
3:30pm - 5:00pm
Host: Sulagna Mookerjee
Apr
16
Fri
3:30pm - 5:00pm
Host: Sol Polachek
Apr
21
Wed
3:30pm - 5:00pm
Host: Ozlem Tonguc
Apr
30
Fri
3:30pm - 5:00pm
Host: Neha Khanna
May
7
Fri
3:30pm - 5:00pm
Host: Ozlem Tonguc
May
14
Fri
3:30pm - 5:00pm
Host: David Slichter
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