经济与社会研究院SEMINAR第92期

题目：Significance Testing in Nonparametric Regression Based on Pairwise Distances Between Points

主讲人：宋晓军，北京大学

时间： 2018年3月30日15:00-16:15

地点：暨南大学中惠楼106B会议室

主讲人简介：

宋晓军，北京大学光华管理学院商务统计与经济计量系助理教授。2014年毕业于马德里卡洛斯三世大学经济系，获经济学博士学位。主要研究方向是理论计量经济学和应用计量经济学。

Abstract:

In this paper, we propose a new class of test statistics to check whether some covariates are significant or not in nonparametric regression. The proposed test statistic, which is based on pairwise distances between points, has a simple and closed form. In addition, it smoothes only over the covariates appearing under the null hypothesis. It applies whether the covariates under test are continuous and/or discrete. Different from many existing methods, the convergence rate of the proposed test statistic does not depend on the dimension of the covariates under test, nor on the dimension of the covariates appearing under the null model. Simulation studies and a real data analysis are carried out to illustrate the merits of our proposed method. In small samples, our test is competitive compared to existing procedures, even for mildly large dimensions.