報告題目：Nonparametric Tests for Equality of Conditional Distributions
主講人：宋曉軍副教授（北京大學）
時間：2024年10月21日（周一）10:00 a.m.
地點：北院卓遠樓305會議室
主辦單位：統計與數學學院
摘要：We propose nonparametric tests for the equality of two conditional distributions. To avoid the estimation of conditional density functions, we transform the null hypothesis into an equivalent characterization that a function involving only unconditional expectations equals zero everywhere. Based on an empirical analog of this function, which is $\sqrt{N}$-consistent and converges weakly to a Gaussian limit, we construct the Kolmogorov-Smirnov (KS) and Cramer-von Mises (CvM) statistics. The critical values are computed by a multiplier bootstrap procedure. The proposed KS and CvM tests are proved to be asymptotically size-controlled and consistent against any fixed alternative, and we also study the local power. Monte Carlo experiments illustrate good performances of these tests in finite samples.
主講人簡介：
宋曉軍，北京大學光華管理學院商務統計與經濟計量系副教授，博士生導師，西班牙馬德里卡洛斯三世大學經濟學博士。主要研究興趣是理論計量經濟學，包括非參數/半參數方法，假設檢驗和自助法，以及計量經濟學的應用等。論文發表在Annals of Applied Statistics，Biometrics，Econometric Theory，Journal of Applied Econometrics，Journal of Business & Economic Statistics和Journal of Econometrics等國際期刊。主持和參與自然科學基金面上項目和重點項目等。自2020年1月起擔任Economic Modelling副主編。
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