When:
Wednesday, October 10, 2018
11:00 AM - 12:00 PM CT
Where: 2006 Sheridan Road, B02, 2006 Sheridan Road , Evanston, IL 60208 map it
Audience: Faculty/Staff - Post Docs/Docs - Graduate Students
Contact:
Kisa Kowal
(847) 491-3974
Group: Department of Statistics and Data Science
Category: Academic
Department of Statistics Fall 2018 Seminar Series
Factor-Driven Two-Regime Regression
Speaker: Yuan Liao, Associate Professor of Economics, Rutgers University
Time: 11:00am
Abstract: We propose a two-regime regression model, where the linear regression coefficient has a structural break, driven by a vector of possibly unobservable factors, and the unobserved factors can be estimated from a large dataset. The model brings new phenomena to both computations and asymptotics. We show that the computation can be reformulated as a mixed integer optimization. We also observe that the rate of convergence and the asymptotic distribution of the estimators are continuously affected, as the unobserved factors are estimated more accurately.
Location: Basement classroom - B02, Department of Statistics, 2006 Sheridan Road