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计量、金融与大数据分析workshop：A Unifying Framework for Testing Shape Restrictions
发布日期：2023-12-25 12:00 来源：
题目：A Unifying Framework for Testing Shape Restrictions
摘要：This paper makes the following original contributions. First, we develop a unifying framework for testing shape restrictions based on the Wald principle. The test has asymptotic uniform size control and is uniformly consistent. Second, we examine the applicability and usefulness of some prominent shape enforcing operators in implementing our framework. In particular, in stark contrast to its use in point and interval estimation, the rearrangement operator is inapplicable due to a lack of convexity. The greatest convex minorization and the least concave majorization are shown to enjoy the analytic properties required to employ our framework. Third, we show that, despite that the projection operator may not be well-defined/behaved in general parameter spaces such as those defined by uniform norms, one may nonetheless employ a powerful distance-based test by applying our framework. Monte Carlo simulations confirm that our test works well. We further showcase the empirical relevance by investigating the relationship between weekly working hours and the annual wage growth in the high-end labor market.
主讲人：Zheng Fang, Emory University
主持人：（国发院）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12月25日（周一）10:00 AM -- 11:30 AM
地点：北京大学承泽园131
主讲人简介：
Zheng Fang is an associate professor at Emory University. His research interests include theoretical econometrics and applied econometrics. He has publications in Econometrica, Econometric Theory, Electronic Journal of Statistics, Journal of Econometrics, Quantitative Economics, and Review of Economic Studies.
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首页
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计量、金融与大数据分析workshop：A Unifying Framework for Testing Shape Restrictions
发布日期：2023-12-25 12:00 来源：
题目：A Unifying Framework for Testing Shape Restrictions
摘要：This paper makes the following original contributions. First, we develop a unifying framework for testing shape restrictions based on the Wald principle. The test has asymptotic uniform size control and is uniformly consistent. Second, we examine the applicability and usefulness of some prominent shape enforcing operators in implementing our framework. In particular, in stark contrast to its use in point and interval estimation, the rearrangement operator is inapplicable due to a lack of convexity. The greatest convex minorization and the least concave majorization are shown to enjoy the analytic properties required to employ our framework. Third, we show that, despite that the projection operator may not be well-defined/behaved in general parameter spaces such as those defined by uniform norms, one may nonetheless employ a powerful distance-based test by applying our framework. Monte Carlo simulations confirm that our test works well. We further showcase the empirical relevance by investigating the relationship between weekly working hours and the annual wage growth in the high-end labor market.
主讲人：Zheng Fang, Emory University
主持人：（国发院）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12月25日（周一）10:00 AM -- 11:30 AM
地点：北京大学承泽园131
主讲人简介：
Zheng Fang is an associate professor at Emory University. His research interests include theoretical econometrics and applied econometrics. He has publications in Econometrica, Econometric Theory, Electronic Journal of Statistics, Journal of Econometrics, Quantitative Economics, and Review of Economic Studies.
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