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報告題目： On the asymptotic non-equivalence of GMM and EL estimators in models with missing data
主講人：陳雪蓉博士（西南財經(jīng)大學）
時間：2016年5月23日（周一）10:00 a.m. - 11:30 a.m.
地點：北院卓遠樓305
主辦單位：統(tǒng)計與數(shù)學學院

摘要： The generalized method of moments (GMM) and empirical likelihood (EL) are popular methods for combining sample and auxiliary information. These methods are used in very diverse fields of research where competing theories often suggest variables satisfying different moment conditions. Results in the literature have shown that the efficient GMM (GMME) and maximum EL (MEL) estimators have the same asymptotic distribution to order root-n and both estimators are asymptotically semi-parametric efficient. In this paper, we demonstrate that when data are missing at random from the sample, the utilization of some well-known missing at a handling approaches proposed in the literature can yield GMME and MEL estimators with non-identical properties; in particular, it is shown that the GMME estimator is semiparametric efficient under all the missing data handling approaches considered but the MEL estimator is not always efficient. A thorough examination of the reason for the non-equivalence of the two estimators is presented. A particularly strong feature of our analysis is that we don’t assume smoothness in the underlying moment conditions. Our results are thus relevant to situations involving non-smooth estimating functions including quantile and rank regressions, robust estimation, the estimation of ROC curves, and so on.

陳雪蓉博士簡介：統(tǒng)計學博士（中科院和云南大學聯(lián)合培養(yǎng)）,，喬治城大學和密蘇里大學博士后，現(xiàn)為西南財經(jīng)大學統(tǒng)計研究中心助理教授,，主要研究領域為分位數(shù)回歸,、非光滑估計方程,、生存分析、缺失數(shù)據(jù),、長度偏差數(shù)據(jù),、縱向數(shù)據(jù)、變量選擇、藥物混合,、半?yún)?shù)非參數(shù)建模推斷,。在包括頂級統(tǒng)計學期刊Journal of the American Statistical Association和一流統(tǒng)計學期刊Scandinavian Journal of Statistics，Electronic Journal of Statistics, Statistica Sinica等國際期刊上發(fā)表論文數(shù)十篇,，目前主持國家級課題一項,，并參與過多項國家級課題和香港研究資助局課題以及美國國家癌癥研究所課題的研究工作，擔任過Journal of the American statistical Association,，Scandinavia Journal of Statistics,，Biometrics，Journal of Multivariate Analysis,，Journal of Nonparametric Statistics和Statistics, American Journal of Biostatistics等期刊的匿名審稿人,。