报告题目：Nonparametric Tests for Equality of Conditional Distributions

报 告 人：宋晓军副教授（北京大学）

报告时间：2023年11月2日  15:00-16:00

报告地点：格物楼数学研究中心528室报告厅

报告摘要：

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-Smimnov (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 atemative, and we also study the local power. Monte Carlo experiments illustrate good performances of these tests in finite samples.

报告人简介：

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 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金面上项目和国家重点专项等。自2020年1月起担任Economic Modelling副主编。