[경제학과] 10월 12일 BK 목요세미나 안내
- 진하은
- 2023-10-10
10월 12일 16시 30분에 예정된 목요세미나 일정 안내드립니다.
이번 주 목요일에 있을 세미나는 백예인 박사님께서 발표해주실 예정입니다.
장소는 다산경제관 32211호에서 진행될 예정이니 많은 관심과 참여 부탁드립니다.
세부 일정 및 내용은 다음과 같습니다.
- 일시: 2023년 10월 12일 (목) 16:30~17:45
- 장소: 다산경제관 32211호
- 발표자: 백예인 박사님 (대외경제정책연구)
- 주제: Tests for Break in Coefficients in Linear Regression when the Direction of the Break is known
- Abstract: Most existing tests for structural breaks in linear regression models test for both positive and negative changes in regression coefficients. For many applications it is possible that a researcher is interested in testing for a break in a particular direction because the potential direction of the change is known, for example from expectations of a policy change. We use this information and construct a statistical test for structural breaks when the direction of the parameter shift is known. The direction of coefficients may vary from each other and partial breaks are incorporated. We provide three test statistics with asymptotic critical values, including a test with optimal properties under more restrictive assumptions. Simulations show that our tests has higher power compared to tests widely used in literature. Empirical application on postwar U.S. real GDP growth rate shows that our tests detect a structural break, whereas other tests fail to confirm.