讲座题目： Unified specification tests in partially linear quantile regression models

主 讲 人： 宋晓军

时    间： 2024年1月10日（周三）15:00-17:00

地    点： 创新港涵英楼经济金融研究院8004会议室

报告人简介：

宋晓军，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。

摘要：

In this paper we propose a specification test for parametric quantile regression models versus semiparametric alternatives over a continuum of quantile levels. The test statistics are constructed as continuous functionals of a residual marked empirical process similar to Escanciano and Goh (2014). We show that the use of an orthogonal projection on the tangent space of nuisance parameters at each quantile index delivers unified asymptotic theory for tests with different estimators under the null, and also facilitates the simulation of critical values by means of a multiplier bootstrap procedure. Consistency of the tests against fixed alternatives and asymptotic power under a sequence of local alternatives converging to the null at the parametric rate are also discussed.

经济与金融学院

2024年1月8日