报告题目：Smooth Tests for the Equality of Conditional Distributions
报告人： 宋晓军（北京大学）
报告时间： 2024年9月20日（周五） 08:30-09:30
报告地点： 维格堂113
报告摘要：In this paper, we establish Neyman's smooth tests for the equality of conditional distributions. Unlike the traditional smooth tests always based on parametric residuals, our method requires nonparametric estimation of the conditional cumulative distribution function (CDF). The proposed smooth test statistics are asymptotically chi-square distributed under the null hypothesis that the conditional distributions of two populations are equal. Such asymptotically distribution-free (ADF) theory for the smooth test statistic works for the general two sample sizes. We also discuss the cases where the conditioning variables follow the same or different distributions. To address the issue of random denominators in the CDF estimator, we introduce the density-weighted smooth test statistic which imposes fewer restrictions on the asymptotic variance. The finite sample size and power properties of our proposed tests are studied, showing that the tests perform well in controlling the size once the bandwidth used in the CDF estimator is selected within a reasonable range, and have decent power under the alternatives.
报告人介绍：宋晓军，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Annals of Applied Statistics，Biometrics，Econometric Theory，Journal of Applied Econometrics，Journal of Business & Economic Statistics和Journal of Econometrics等国际期刊。主持和参加自然科学基金面上项目和重点项目等。自2020年1月起担任Economic Modelling副主编。
邀请人：马学俊