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北京大学国家发展研究院

计量金融与大数据分析workshop：Nonparametric Tests for Equality of Conditional Distributions

发布日期：2023-09-22 12:00    来源：

题目：Nonparametric Tests for Equality of Conditional Distributions

摘要：This paper proposes two easy-to-implement nonparametric tests for the equality of two conditional distributions. To avoid estimating conditional density functions, we transform the null hypothesis into an equivalent characterization. Based on two-sample U-process and weak convergence theory, we construct the Kolmogorov-Smirnov (KS) and Cramér-von Mises (CvM) statistics and find their asymptotic distributions. The critical values are constructed by a multiplier bootstrap method. The proposed KS and CvM tests are proved to be asymptotically size-controlled and consistent against each fixed alternative. A study on the local power of the tests is provided. Monte Carlo experiments illustrate good performance of the tests in finite samples.

主讲人：Xingyu Li, National School of Development, Peking University

主持人：（国发院）沈艳、黄卓、张俊妮、孙振庭

            （北大新结构经济学研究院）胡博

              （经济学院）王一鸣、王熙、刘蕴霆、王法

时间：2023年9月22日（周五）10:00 AM -- 11:30 AM

地点：经院107室

主讲人简介：

Xingyu Li is currently a Ph.D. student at National School of Development, Peking University. His research fields include theoretical econometrics and applied econometrics.


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