Two applications of U-Statistic type processes to detecting\ud failures in risk models and structural breaks in linear\ud regression models

Doctoral thesis English OPEN
Pouliot, William
  • Subject: HB

This dissertation is concerned with detecting failures in Risk Models and in detecting structural breaks in linear regression models. By applying Theorem 2.1 of Szyszkowicz on U-statistic type process, a number of weak convergence results regarding three weighted partial sum processes are established. It is shown that these partial sum processes share certain invariance properties; estimation risk does not affect their weak convergence results and they are also robust to asymmetries in the error process in linear regression models. There is also an application of the methods developed here to a four factor Capital Asset Pricing model where it is shown via the methods developed in Chapter 3 that manager stock selection abilities vary over time.
  • References (25)
    25 references, page 1 of 3

    [1] Altissimo, F. and Corradi, V. (2003). Strong Rules for Detecting the Number of Breaks in a Time Series, Journal of Econometrics, Vol 117, pp. 207-244.

    [2] Andreou, E. and Ghysels, E. (2006). Monitoring disruptions in financial markets, Journal of Econometrics, Vol. 135, pp. 77-124.

    [3] Andrews, D. W. K. (2003). Tests for Parameter Instability and Structural Change With Unknown Change Point: a Corrigendum, Econometrica, Vol. 71, No. 1, pp. 395397.

    [4] Andrews, D. W. K. (1993). Tests for Parameter Instability and Structural Change With Unknown Change Point, Econometrica, Vol. 61, No. 4, pp. 821856.

    [5] Andrews, D. W. K., Lee, I. and Ploberger, W. (1996). Optimal Tests for Normal Linear Regression, Journal of Econometrics, Vol. 70, pp. 9-38.

    [6] Andrews, D. W. K. and Ploberger, W. (1994). Optimal Tests when a Nuisance Parameter is Present only Under the Alternative. Econometrica, Vol. 62, No. 6, pp. 1383-1414.

    [7] Andrews, D. W. K. (1993). Tests for Parameter Instability and Structural Change with Unknown Change Point, Econometrica, Vol. 61, No. 4 (July), pp. 821-859.

    [8] Antoch, J., Huˇskova´, M. and Veraverbeke, N. (1995). Change-Point Problem and Bootstrap, Journal of Non-parametric Statistics, Vol. 5, pp. 123-144.

    [9] Bai, J. and Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics, Vol. 18, pp. 1-22.

    [10] Bai, J. and Perron, P. (2003). Critical Values for Multiple Structural Change Tests, Econometrics Journal, Vol. 6, pp. 72-78.

  • Metrics
    0
    views in OpenAIRE
    0
    views in local repository
    75
    downloads in local repository

    The information is available from the following content providers:

    From Number Of Views Number Of Downloads
    City Research Online - IRUS-UK 0 75
Share - Bookmark