经济学院2017年第四十五次学术研讨会

——计量经济学研讨会（一）

主讲人：李阳琳 博士

题目：ESTIMATING AND TESTING STRUCTURAL CHANGES IN MULTIVARIATE REGRESSION

时 间：2017年11月17日（周五）晚上19:00

地 点：经济学院521室

经济学院

2017年11月15日

摘要：This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance matrix of the errors. We also allow arbitrary restrictions on these parameters, which permits the analysis of partial structural change models, common breaks that occur in all equations, breaks that occur in a subset of equations, and so forth. The method of estimation is quasi-maximum likelihood based on Normal errors. The limiting distributions are obtained under more general assumptions than previous studies. For testing, we propose likelihood ratio type statistics to test the null hypothesis of no structural change and to select the number of changes. Structural change tests with restrictions on the para- meters can be constructed to achieve higher power when prior information is present. For computation, an algorithm for an efficient procedure is proposed to construct the estimates and test statistics. We also introduce a novel locally ordered breaks model, which allows the breaks in different equations to be related yet not occurring at the samedates.