[ECON20141711]

數(shù)量經(jīng)濟(jì)學(xué)研討會(huì)

     
 
  報(bào)告題目：Second Order Properties of Empirical Likelihood Ratio Tests for General Parameter Hypothesis Testing Problems  
  報(bào)告人：馬駿 博士  
  報(bào)告時(shí)間：2014年09月30日下午12:30-13:30  
  報(bào)告地點(diǎn)：明德主樓729  
 
 
  報(bào)告摘要： This paper focuses on parameter hypothesis testing problems in the inferential framework of moment restriction models using empirical likelihood ratio tests. We consider possibly overidentified models and tests of general nonlinear restrictions on the parameter under the null hypothesis. We show that empirical likelihood ratio tests for the family of testing problems defined by linear parametric restrictions are Bartlett correctable. This is an important generalization of the theorems on Bartlett correctability of empirical likelihood ratio tests by Chen and Cui (2006, Biometrika, 93, 215-220) and Chen and Cui (2007, Journal of Econometrics, 141, 492-516) because it allows for much more interesting parameter testing problems and is potentially useful in many econometric applications. Based on this finding, we propose empirical likelihood ratio tests with second order refinement via Bartlett correction or adjusted empirical likelihood. Our second theoretical finding is that if the parametric restriction by the null hypothesis is nonlinear, the second order refinement results established for linear testing problems cannot be extended to these cases in general. In the Monte Carlo experiment, we focus on parameter testing problems for which Bartlett correctability of empirical likelihood ratio tests have not been established in the literature and show that our new testing methods have good finite sample properties.  
 
 
  報(bào)告人簡(jiǎn)介：  
  馬駿，英屬哥倫比亞（UBC）大學(xué)經(jīng)濟(jì)學(xué)博士。他的主要研究方向?yàn)橛?jì)量經(jīng)濟(jì)學(xué)，主要研究興趣為調(diào)整的經(jīng)驗(yàn)似然（adjusted empirical likelihood）以及經(jīng)驗(yàn)似然的高階漸近性質(zhì)等。  
 
 
      數(shù)量經(jīng)濟(jì)教研室               運(yùn)籌學(xué)與數(shù)量經(jīng)濟(jì)研究所               中國(guó)人民大學(xué)經(jīng)濟(jì)學(xué)院               2014年09月      
 
      為了加強(qiáng)與國(guó)內(nèi)外高水平數(shù)量經(jīng)濟(jì)學(xué)學(xué)者的交流和合作，更好地促進(jìn)數(shù)量經(jīng)濟(jì)學(xué)與院內(nèi)其他學(xué)科之間的合作交流，數(shù)量經(jīng)濟(jì)學(xué)教研室將舉辦數(shù)量經(jīng)濟(jì)學(xué)研討會(huì)。研討會(huì)側(cè)重于理論計(jì)量經(jīng)濟(jì)學(xué)、應(yīng)用計(jì)量經(jīng)濟(jì)學(xué)及數(shù)理經(jīng)濟(jì)學(xué)的最新研究成果，歡迎各位學(xué)者參加或報(bào)告。如果您有研究成果想要報(bào)告，請(qǐng)與數(shù)量經(jīng)濟(jì)學(xué)教研室章永輝博士聯(lián)系（yonghui.zhang@hotmail.com）。