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報(bào)告題目：Nonparametric Tests for Equality of Conditional Distributions

主講人：宋曉軍副教授（北京大學(xué)）

時(shí)間：2024年10月21日（周一）10:00 a.m.

地點(diǎn)：北院卓遠(yuǎn)樓305會(huì)議室

主辦單位：統(tǒng)計(jì)與數(shù)學(xué)學(xué)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(jiǎn)介：

宋曉軍,，北京大學(xué)光華管理學(xué)院商務(wù)統(tǒng)計(jì)與經(jīng)濟(jì)計(jì)量系副教授,，博士生導(dǎo)師，西班牙馬德里卡洛斯三世大學(xué)經(jīng)濟(jì)學(xué)博士,。主要研究興趣是理論計(jì)量經(jīng)濟(jì)學(xué),，包括非參數(shù)/半?yún)?shù)方法，假設(shè)檢驗(yàn)和自助法,，以及計(jì)量經(jīng)濟(jì)學(xué)的應(yīng)用等,。論文發(fā)表在Annals of Applied Statistics，Biometrics,，Econometric Theory,，Journal of Applied Econometrics，Journal of Business & Economic Statistics和Journal of Econometrics等國(guó)際期刊,。主持和參與自然科學(xué)基金面上項(xiàng)目和重點(diǎn)項(xiàng)目等,。自2020年1月起擔(dān)任Economic Modelling副主編。