Nonparametric Tests for Equality of Conditional Distributions

讲座名称: Nonparametric Tests for Equality of Conditional Distributions
讲座时间: 2024-01-11
讲座人: 宋晓军
形式: 线下
校区: 兴庆校区

报告题目:Nonparametric Tests for Equality of Conditional Distributions

报告时间:2024-1-11 上午1000--1100


报告简介: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 Cram\'{e}r-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.


个人简介:宋晓军,男,北京大学光华管理学院商务统计与经济计量系副教授,博士生导师,西班牙马德里卡洛斯三世大学经济学博士。主要研究兴趣是理论计量经济学,包括非参数/半参数方法,假设检验和自助法,以及计量经济学的应用等。论文发表在Econometric TheoryJournal of Applied EconometricsJournal of Business & Economic StatisticsJournal of Econometrics等国际期刊。主持和参加自然科学基金面上项目和国家重点专项等。自20201月起担任Economic Modelling副主编。