报告题目：Nonparametric Tests for Equality of Conditional Distributions

报 告 人： 宋晓军 副教授

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-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.

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基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。