High Dimensional Stochastic Regression with Latent Factors,Endogeneity and Nonlinearity

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• Yao, Q (London School of Economics)
• Tuesday 14 January 2014, 14:10-14:50
• Seminar Room 1, Newton Institute.

If you have a question about this talk, please contact Mustapha Amrani.

Inference for Change-Point and Related Processes

We consider a multivariate time series model which represents a high dimensional vector process as a sum of three terms: a linear regression of some observed regressors, a linear combination of some latent and serially correlated factors, and a vector white noise. We investigate the inference without imposing stationary conditions on the target multivariate time series, the regressors and the underlying factors. Furthermore we deal with the the endogeneity that there exist correlations between the observed regressors and the unobserved factors. We also consider the model with nonlinear regression term which can be approximated by a linear regression function with a large number of regressors. The convergence rates for the estimators of regression coefficients, the number of factors, factor loading space and factors are established under the settings when the dimension of time series and the number of regressors may both tend to infinity together with the sample size. The proposed method is illustrated with both simulated and real data examples.

This talk is part of the Isaac Newton Institute Seminar Series series.

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