A consistent specification test for expectile models

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Annals of Applied Statistics, Biometrics, 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重点项目等。自2020年1月起担任Economic Modelling副主编。

主持人

侯成瀚

湖南大学经济管理研究中心副教授

澳大利亚国立大学经济学博士

时间

2024年9月11日（周三）  

下午4:15-5:30

地点

湖南大学财院校区-行政楼121会议室

ABSTRACT

In this article, we propose a nonparametric test for the correct specification of parametric expectile models over a continuum of expectile levels. The test is based on continuous functionals of a residual-marked empirical process. We show that the test is consistent and has nontrivial power against a sequence of local alternatives approaching the null at a parametric rate. Since the limiting distribution of the test statistic is nonpivotal, we propose a simple multiplier bootstrap procedure to approximate the critical values. A Monte Carlo study shows that the asymptotic results provide good approximations for small sample sizes.