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報告題目：Testing for Weighted Functional Inequalities with Estimated Weights

報告人：莊額嘉 武漢大學(xué)

報告時間：2023年5月23日(周二)，16:30-18:00

報告地點：中科院數(shù)學(xué)與系統(tǒng)科學(xué)研究院南樓N204

騰訊會議ID：929 2139 6317

內(nèi)容摘要

In this paper, we propose statistical tests for weighted functional inequalities with estimated weights. Such null hypotheses have proven highly relevant in settings where subjects' response times may convey information about important variables that are typically unobservable (e.g., utilities, happiness, or political attitudes). Our tests, implemented through an easy-to-use multiplier bootstrap procedure, have reasonable power and are consistent. Applying our method to revealed preference analysis, we show that it pinpoints the subject's preference relation in 68.83% of cases with choice reversals. Moreover, the out-of-sample predictions based on our test results have a remarkable accuracy rate of 96%.

主講人簡介

莊額嘉，武漢大學(xué)經(jīng)濟與管理學(xué)院特聘研究員，研究方向為金融計量，風(fēng)險理論。有文章發(fā)表于Journal of Econometrics，Oxford Bulletin of Economics and Statistics，Insurance: Mathematics and Economics.