Join Dr EunYi Chung for an online event, part of the Econometrics Research Seminar Series, Summer Term 2021
16:00 - 17:30
Dr EunYi Chung
Lectures, talks and seminars
Econometrics Research Seminar Series
Economics, Department of
Join Dr EunYi Chung as they present their research on Permutation Tests at Nonparametric Rates
Dr EunYi Chung from the Department of Economics, University of Illinois Urbana Champaign will present their research on Permutation Tests at Nonparametric Rates.
Classical two-sample permutation tests for equality of distributions have exact size in finite samples, but they fail to control size for testing equality of parameters that summarize each distribution. This paper proposes permutation tests for equality of parameters that are estimated at root-n or slower rates. Our general framework applies to both parametric and nonparametric models, with two samples or one sample split into two subsamples. Our tests have correct size asymptotically while preserving exact size in finite samples when distributions are equal. They have no loss in local-asymptotic power compared to tests that use asymptotic critical values. We propose confidence sets with correct coverage in large samples that also have exact coverage in finite samples if distributions are equal up to a transformation. We apply our theory to four commonly-used hypothesis tests of nonparametric functions evaluated at a point. Lastly, simulations show good finite sample properties of our tests.
This seminar will be held via webinar on Zoom at 4pm on Wednesday 16th June. This event is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.
This event is part of the Econometrics Research Seminar Series.