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。