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IAER Seminar 2022-14: 李愚昊

报告题目:Consistent Test for Conditional Moment Restriction Models in Reproducing Kernel Hilbert Spaces

报 告 人:李愚昊

报告时间: 2022年12月09日(周五)15:30-17:00

报告地点:腾讯会议(会议号 642 398 405)





In this paper, we represent Integrated Conditional Moment (ICM) tests in Reproducing Kernel Hilbert Spaces (RKHS). There are several advantages of doing so. First, reproducing kernels embody dimension and integral measure, and hence, are effective dimension reduction tools. This phenomenon can be explained by the isometrically isomorphic relationship among infinite dimensional Hilbert spaces. Second, the test statistics, expressed in terms of kernels, have analytic closed forms, making them easy to compute in practice. Third, one can generate kernels easily and massively from existing kernels. Each kernel corresponds to an ICM test, thus, for certain models, one may obtain a more sensitive test than by using conventional ones. We further propose projection-based kernels to eliminate estimation effect, leading to a simple multiplier bootstrap procedure to obtain critical values. A minimum distance estimator is developed as a byproduct. Monte Carlo exercises are performed to examine the finite sample performance of the proposed test, and an empirical application is studied.  


腾讯会议号:642 398 405



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撰稿:王杰 审核:齐鹰飞 单位:高等经济研究院