报告题目：Checking the Adequacy of Quantile Regression Models

报告人：宋晓军 副教授 （北京大学）

报告时间：2023年5月31日上午 11:00-12:00

报告地点：学院会议室213

报告摘要:

We propose a new class of tests to evaluate the correct specification of quantile regression models over a continuum of quantiles. A cumulative sum (cusum) process is established by using all components in the gradient of the check function, which is further modified by (1) replacing the weighting functions with dimension reduction ability, and (2) incorporating an orthogonal projection onto the tangent space of nuisance parameters in order to eliminate the uncertainty of preliminary parameter estimation. Besides, this projection is also able to facilitate an attractive multiplier bootstrap procedure for the computation of critical values. We then introduce several Cramer–von Mises-type test statistics with convenient closed-form expressions. The asymptotic properties of the proposed test statistics are investigated under the null, the alternative, and a sequence of local alternatives converging to the null at the root-n rate, respectively. Simulation studies show that our tests have good finite sample performance. A real data example is also introduced to illustrate the usefulness of our tests in practice.

报告人简介：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ET，JAE，JBES和JoE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。