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SUMMARY:Heteroscedasticity and Autocorrelation Robust Structural Change De
 tection - Zhou\, Z (University of Toronto)
DTSTART:20140114T160000Z
DTEND:20140114T163000Z
UID:TALK49858@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:The assumption of (weak) stationarity is crucial for the valid
 ity of most of the conventional tests of structure change in time series. 
 Under complicated non-stationary temporal dynamics\, we argue that traditi
 onal testing procedures result in mixed structural change signals of the f
 irst and second order and hence could lead to biased testing results. We p
 ropose a simple and unied bootstrap testing procedure which provides consi
 stent testing results under general forms of smooth and abrupt changes in 
 the temporal dynamics of the time series. Monte Carlo experiments are perf
 ormed to compare our testing procedure to various traditional tests. Our r
 obust bootstrap test is applied to testing changes in an environmental tim
 e series and our procedure is shown to provide more reliable results than 
 the conventional tests.\n
LOCATION:Seminar Room 1\, Newton Institute
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