Arbeitspapier
Inference of Break-Points in High-Dimensional Time Series
We consider a new procedure for detecting structural breaks in mean for high- dimensional time series. We target breaks happening at unknown time points and locations. In particular, at a fixed time point our method is concerned with either the biggest break in one location or aggregating simultaneous breaks over multiple locations. We allow for both big or small sized breaks, so that we can 1), stamp the dates and the locations of the breaks, 2), estimate the break sizes and 3), make inference on the break sizes as well as the break dates. Our theoretical setup incorporates both temporal and crosssectional dependence, and is suitable for heavy-tailed innovations. We derive the asymptotic distribution for the sizes of the breaks by extending the existing powerful theory on local linear kernel estimation and high dimensional Gaussian approximation to allow for trend stationary time series with jumps. A robust long-run covariance matrix estimation is proposed, which can be of independent interest. An application on detecting structural changes of the US unemployment rate is considered to illustrate the usefulness of our method.
- Language
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Englisch
- Bibliographic citation
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Series: IRTG 1792 Discussion Paper ; No. 2019-013
- Classification
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Wirtschaft
Mathematical and Quantitative Methods: General
- Subject
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high-dimensional time series
multiple change-points
Gaussian approximation
nonparametric estimation
heavy tailed
long-run covariance matrix
- Event
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Geistige Schöpfung
- (who)
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Chen, Likai
Wang, Weining
Wu, Wei Biao
- Event
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Veröffentlichung
- (who)
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Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
- (where)
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Berlin
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chen, Likai
- Wang, Weining
- Wu, Wei Biao
- Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Time of origin
- 2019
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