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WETA

2015 年 6 月份 WETA 研討會

訊息標題:

2015 年 6 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)、國立臺灣大學財務金融學系及臺灣經濟計量學會 (TES) 將共同舉辦 6 月份WETA @TES。6 月份 WETA 研討會相關資訊如下。

 

2015 6 月份 WETA 研討會】

日期:2015 年 7 月 6 日 (週一) 下午2:00~5:00

地點:國立台灣大學管理學院一號館二樓冠德講堂

講者:許育進教授 (中央研究院經濟研究所)

演講主題:Review on Multiple Hypotheses Testing without Data Snooping Bias

 

講題摘要:

In a multiple hypotheses testing problem, it is often of interest to identify as many false null hypotheses as possible while accounting for the data-snooping effect. For example, among a given set of models such as portfolios, mutual funds, hedge funds or trading rules, one would like to examine if there are some models having superior performance relative to a benchmark. Then, data snooping may arise because, when many models are evaluated individually, some are bound to be superior by chance alone even though they are not.

In this talk, I will review several multiple hypotheses tests in the literature that are not subject to data snooping bias.  We will also see how one can improve the power of a test by adopting different definition notions of error rates such as familywise error rate, k- familywise error rate and false discovery rate.

On the other hand, when one tests for the multiple inequality constraints and if the least favorable configuration (LFC) is adopted, the resulting test is conservative and less powerful.  We introduce the recentering method proposed by Hansen (2005) that can improve the power of a test by avoiding using LFC.

 

講者介紹:

許育進教授為美國 University of Texas 經濟學博士,目前任職於中央研究院經濟研究所。研究專長為經濟計量理論,詳細期刊論文著作請參閱許教授個人網頁

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