[Statlist] Research seminar in statistics May 15th 2015, GSEM University of Geneva

[Eva Cantoni]

Organisers :
E. Cantoni - E. Ronchetti - S. Sperlich - M-P. Victoria-Feser


Friday May 15th, 2015
at 11h15 - Room M 5220, Uni Mail (40, bd du Pont-d'Arve)

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The Asymptotic Behaviour of the Residual Sum of Squares in Models with 
Multiple Break Points

Alastair HALL
University of Manchester

ABSTRACT :
Models with multiple discrete breaks in parameters are usually estimated 
via least squares. This paper,  firstly, derives the asymptotic 
expectation of the residual sum of squares, the form of which indicates 
that the number of estimated break points and the number of regression 
parameters affect the expectation in different ways. Secondly, we 
propose a statistic for testing the joint hypothesis that the breaks 
occur at specified points in the sample and show that the statistic has 
a limiting null distribution that is non-standard but simulatable. In an 
important special case, the statistic can be normalized to make it 
pivotal and we provide percentiles for the associated limiting 
distribution. Our analytical results cover linear and nonlinear 
regression models with exogenous regressors estimated via Ordinary (or 
Nonlinear) Least Squares and a linear model in which some regressors are 
endogenous and the model is estimated via Two Stage Least Squares. An 
application to US monetary policy rejects the common assumption that 
identified breaks are associated with changes in the chair of the Fed.

Time permitting I will explore an application of the results to the 
construction of information criteria for the estimation of the number of 
breaks.

(paper joint with Denise Osborn and Nikolaos Sakkas)-


Visit the website: http://www.stat-center.unige.ch/ressem.html

-- 
Prof. Eva Cantoni
Research Center for Statistics and
      Geneva School of Economics and Management
University of Geneva, Bd du Pont d'Arve 40, CH-1211 Genève 4
http://stat-center.unige.ch/members2/profs/eva-cantoni/