【主题】Estimation and test of jump discontinuities in varying coefficient models with empirical applications
【报告人】林金官 , 教授
南京审计大学
【时间】 2019年5月20日（星期一）10:00-11:00
【地点】上海财经大学统计与管理学院大楼1208会议室
【摘要】Varying coefficient models are very important tools to explore the hidden structure between the response and its predictors. This paper focuses on estimating and diagnosing jump discontinuities in coefficient functions. A nonparametric procedure is proposed to estimate jump discontinuities based on the Nadaraya-Watson kernel smoothing and least-squares fitting, and asymptotic properties of resulting estimators are derived. Then, a jump size-based test statistic is developed for checking whether the estimated jump discontinuities are true. A computationally feasible approximation is derived for critical values of its limiting null distribution. Monte Carlo simulations are conducted to assess the finite sample performance of the proposed methodologies, and an empirical example is discussed.
【嘉宾简介】林金官，博士、教授。现任南京审计大学统计科学与大数据研究院院长,兼任中国现场统计研究会工程概率统计学会副会长、中国现场统计研究会资源与环境统计学会副会长、教育部统计学类教学指导委员会委员、中文核心期刊《系统科学与数学》与《数理统计与管理》杂志编委等。
