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A Course on Specification Testing

A Course on Specification Testing
Miguel A. Delgado
Universidad Carlos III de Madrid


This course presents a unified approach to testing restrictions on econometric models. We present alternative methodologies for testing the functional form of distribution and regression functions, which are applied to testing other restrictions on the distribution and regression function, like different types of independence, symmetry or monotonicity. Power properties of the tests and improvements in the direction of local alternatives are discussed.

Contents of the course:
1.    Motivation & notation.
2.    Goodness-of-fit tests for distribution functions. 
3.    Specification testing of regression models.
4.    Estimated parameters.
5.    Power issues: Smooth and optimal tests.
6.    Tests of lack of correlation, mean independence and independence.
7.    Tests on shape constraints: symmetry and monotonicity.

日期: 2015年6月29日-30日, 8:30am-12:00pm
地点: 北京大学光华管理学院老楼(1号楼)219 教室
面向对象: 课程面向国内各高校研究生、青年教师免费开放,食宿自理。短期课程参与者不需要报名,按时间前来听课即可。
教师:  Miguel A. Delgado, Universidad Carlos III de Madrid

(日期:2015-06-28 作者: 来源:)