报告题目：Likelihood ratio test for structural changes in factor models

报告人：段江涛广州大学经济与统计学院统计系博士后

时间：2022年11月21日19：30-21：00

腾讯会议（ID）：146 681 469

摘要:A factor model with a break in its factor loadings is observationally equivalent to a model without changes in the loadings but a change in the variance of its factors. This effectively transforms a structural change problem of high dimension into a problem of low dimension. This paper considers the likelihood ratio (LR) test for a variance change in the estimated factors. The LR test implicitly explores a special feature of the estimated factors: the pre-break and post-break variances can be a singular matrix under the alternative hypothesis, making the LR test diverging faster and thus more powerful than Wald-type tests. The better power property of the LR test is also confirmed by simulations. We also consider mean changes and multiple breaks. We apply the procedure to the factor modelling and structural change of the US employment using monthly industry-level data.

个人简介：段江涛，2021年获东北师范大学统计学博士，现为广州大学经济与统计学院统计系博士后。曾赴美国哥伦比亚大学、香港城市大学进行访问与合作研究。研究兴趣为高维因子模型，面板数据，试验设计。主持国家自然科学基金青年基金项目，多篇论文发表于《Journal of Econometrics》、《Canadian Journal of Statistics》、《Journal of Statistical Computation and Simulation》、《 Journal of Computational and Applied Mathematics》。