一、报告题目：
Testing for Structural Changes in Linear Regression Models with Time-varying Variance
二、报告人：
吴吉林，公司经济研究院教授
三、报告时间：
2018年06月14日 （周四） 下午2:30-4:30
四、报告地点：
知新楼B423
五、报告人简介：
吴吉林博士2010年毕业于厦门大学王亚南经济研究院。主要从事金融时间序列的理论与应用研究，已在Journal of Time Series Analysis, Econometrics Journal, Economics Letters,《经济学季刊》、《世界经济》以及《管理科学学报》等期刊发表二十余篇公司论文。
六、 报告摘要：
This paper proposes a nonparametric test for structural changes in linear regression models that allows for serial correlation, conditional heteroskedasticity and time-varying variance inerror terms. The test requires no trimming of the boundary region near the end points of the sample period, and requires no prior information on the alternative, what it requires is the transformed OLS residuals under the null hypothesis. We show that the test has a limiting standard normal distribution under the null hypothesis, and is powerful against single break,multiple breaks and smooth structural changes. We advocate using a wild bootstrap method to improve its size performance in fi
nite samples. Finally, a Monte Carlo experiment is conducted to highlight the merits of the proposed test relative to other popular tests for structural changes.
七、主办单位：
全球赌船十大网站(中国)有限公司
