【Job Talk】Valid Confidence Sets for Discontinuous Functions of Parameters
2025/12/24
研討會日期 : 2025-12-24
時間 : 10:30
主講人 : Professor Ji-Liang Shiu (徐吉良)
地點 : Conference Room B110
主持人 : Professor Jiun-Hua Su
演講者簡介 : Professor Shiu received his Ph.D. in Economics from Johns Hopkins University in 2009. He is a Professor at Jinan University. His research fields are Microeconometrics, Applied Econometrics, and Applied Microeconomics. He is applying for a position at the Institute of Economics, Academia Sinica.
演講摘要 : We study inference for discontinuous parameter transformations common in structural, dynamic, and ML settings. Classical Delta method (DM) inference and plug-in asymptotic-distribution (AD) bootstrap can be invalid when smoothness assumptions fails, while the projection method (PM) sets remain valid but are often very conservative. We introduce the Weighted Confidence Set (WCS) bootstrap, a simple two-step trimming-and-weighting procedure that preserves validity and targets the local geometry of h(θ). Theory, simulations (including kinks and zero derivatives), and an employment dynamics application show that WCS delivers tighter and more reliable confidence sets than PM. Our approach complements recent derivative-aware methods, offering a practical default when smoothness is doubtful.
