Daniele Massacci (Bank of England)
| Dates: | 19 April 2018 |
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| Times: | 16:15 - 17:45 |
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| What is it: | Seminar |
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| Organiser: | School of Social Sciences |
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| Speaker: | Daniele Massacci |
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Title: Testing for Regime Changes in Large Dimensional Factor Models
Abstract: We develop a new test for regime changes in large dimensional threshold factor models. We rely on an auxiliary threshold regression by taking a weighted cross-sectional average of the factor model: we estimate the factors from the original model under the null hypothesis of no regime changes; we construct a Lagrange multiplier statistic to test for threshold effect in the auxiliary regression. Numerical results show the good finite sample properties of our procedure. An application to a large number of equity portfolios illustrates its usefulness for empirical work.
Speaker
Daniele Massacci
Role: Senior Research Economist
Organisation: Bank of England
Travel and Contact Information
Find event
2nd floor Boardroom
Arthur Lewis Building
Manchester
