Nonparametric Inference Based on Conditional Moment Inequalities
2013/01/15
研討會日期 : 2013-01-15
時間 : 14:30
主講人 : Professor Xiaoxia Shi
地點 : Conference Room B110
演講者簡介 : Xiaoxia Shi received her Ph.D. in Economics from Yale University in 2011. She is currently serving as Assistant Professor of Economics at University of Wisconsin-Madison. Her research field is in econometric theory, applied econometrics and industrial organization.
演講摘要 : This paper develops methods of inference for nonparametric and semiparametric parameters de.ned by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is established. The false coverage probabilities and power of the CS.s and tests are established for fixed alternatives and some local alternatives. Finite-sample simulation results are given for a nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test uses a Cramér-von-Mises-type test statistic and employs a generalized moment selection critical value.
