Financial Engineering Seminar Series: "Testing and Estimating Structural Changes in Diffusion Processes" - Zhongwen Liang | Hanlon Financial Systems Center

Financial Engineering Seminar Series: "Testing and Estimating Structural Changes in Diffusion Processes" - Zhongwen Liang

Financial Engineering Seminar Series: "Testing and Estimating Structural Changes in Diffusion Processes" - Zhongwen Liang

Event Location: 
Babbio Center 122, Stevens Institute of Technology
Event Time: 
Thursday, April 20, 2017 - 5:00pm to 6:00pm

Zhongwen Liang

Assistant Professor - Department of Economics, University at Albany, SUNY

 

"Testing and Estimating Structural Changes in Diffusion Processes"

ABSTRACT:

In this paper, we consider testing and estimating structural changes in diffusion processes. We investigate structural changes in both drift coefficient and diffusion coefficient. We extend the tests proposed in Andrews (1993) and Bai and Perron (1998) to our setup, and derive the asymptotics. We conduct simulations to show the performance of our tests and estimation.

BIO:

Professor Liang’s research focuses on Nonparametric/Semiparametric estimation and testing in Econometrics, Financial Econometrics and Applied Econometrics. His primary research interests include Nonparametric/Semiparametric modeling, Panel Data models, Diffusion models, Nonstationary time series, and Applied Econometrics. He has published in Journal of Econometrics, Econometric Reviews, and Advances in Econometrics.
Professor Liang is an Assistant Professor in the Department of Economics at University at Albany, SUNY. He earned his Ph.D. in Economics from Texas A&M University in 2012.