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[4月14日] 计量金融与大数据分析workshop

发布日期：2023-04-10 10:29    来源：

Testing for Weighted Functional Inequalities with Estimated Weights

（使用估计权重检验加权函数不等式）

 

时间：4月14日（周五）10:00 AM ——11:30 AM

地点：经济学院107会议室

主讲人：庄額嘉

主持人：（国发院）黄卓、张俊妮、孙振庭

    （新结构）胡博

   （经济学院）王一鸣、王熙、刘蕴霆、王法

摘要：In this paper, we propose statistical tests for weighted functional inequalities with estimated weights. Such null hypotheses have proven highly relevant in settings where subjects' response times may convey information about important variables that are typically unobservable (e.g., utilities, happiness, or political attitudes). Our tests, implemented through an easy-to-use multiplier bootstrap procedure, have reasonable power and are consistent. Applying our method to revealed preference analysis, we show that it pinpoints the subject's preference relation in 68.83% of cases with choice reversals. Moreover, the out-of-sample predictions based on our test results have a remarkable accuracy rate of 96%.

 

主讲人简介：

庄額嘉，武汉大学经济与管理学院特聘研究员，研究方向为金融计量，风险理论。有文章发表于Journal of Econometrics，Oxford Bulletin of Economics and Statistics，Insurance: Mathematics and Economics


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