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2015 年 9 月份 WETA 研討會

訊息標題:

2015 年 9 月份 WETA 研討會

簡介摘要:

國立臺灣大學計量理論與應用研究中心 (CRETA) 及臺灣經濟計量學會 (TES) 將共同舉辦 9 月份WETA @TES。9 月份 WETA 研討會相關資訊如下。

 

2015 9 月份 WETA 研討會】

日期:2015 年 10 月 2 日 (週五) 下午2:00~5:00

地點:集思台大會議中心拉斐爾廳 (台北市羅斯福路四段 85 號 B1)

講者:Prof. Juwon Seo (National University of Singapore)

演講主題:Tests of Stochastic Monotonicity with Improved Size and Power Properties

 

講題摘要:

We develop improved statistical procedures for testing the null hypothesis of stochastic monotonicity. Stochastic monotonicity can be reformulated in terms of the concavity of cross-sections of a copula function; our test statistic is based on a empirical measure of departures from concavity. While existing tests of stochastic monotonicity deliver a limiting rejection rate equal to the nominal significance level at one point and below the nominal significance level elsewhere in the null, our test raises the limiting rejection rate to the nominal significance level over a wide region of the null. This improves power against relevant local alternatives. Implementation of our procedure is based on preliminary estimation of a contact set, similar to procedures developed recently in other contexts. To show the validity of our approach we draw on recent results on the directional differentiability of the least concave majorant operator, and on bootstrap inference when smoothness conditions sufficient to apply the functional delta method for the bootstrap are not satisfied. An application to intergenerational income mobility is provided.

講者介紹:

Prof. Juwon Seo 目前任職於 National University of Singapore經濟系。研究專長為 Econometric Theory、Financial Econometrics 及 Applied Econometrics,詳細期刊論文著作請參閱:http://econweb.ucsd.edu/~jus006/

備註事項:

WETA 為免費參加的研討會,不需事先報名,歡迎各位踴躍參加!!為方便台灣經濟計量學會 (TES) 會員繳納 104 年度會費,本次活動開放現場繳納會費,亦歡迎大家介紹非會員朋友加入 TES。更多研討會資訊請見 TES 網站:http://www.tesociety.org.tw/main.php