统计与管理学院2015年学术报告第41期
【主 题】 Bootstrap Jump Tests of the coefficient function in Time-Varying Coefficient Regression Models and Empirical Analysis
【报告人】 林金官 教授
东南大学数学科学院
【时 间】 2015年9月18日（星期五）10:00－11:00
【地 点】 上海财经大学统计与管理学院大楼1208室
【语 言】 英文
【摘 要】 The time-varying coefficient regression models (TVCRMs) have gained a lot of attention during the last two decades due to many applications in economics and finance.The focus of the present paper is to test whether there is an abrupt change in the coefficient function itself at certain (prespecified or not) locations in time-varying coefficient regression models. Two bootstrap testing procedures are proposed, which do not rely on asymptotic distribution but approximates the sample distribution of the test statistic. The developed testing methods contain a data-driven selection of procedure parameters. Monte Carlo studies are conducted to assess the finite sample performance of the proposed testing procedures. The proposed testing procedures are further demonstrated via an analysis of the common stock price data of Microsoft during the year 2000, using the daily closing prices.
