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