Speaker: 庄額嘉 (Ejia Zhuang)

Title: Testing for Weighted Functional Inequalities with Estimated Weights

Schedule: April 13, TH 12:00-2:00 PM

Location: 诚明楼（Chengming Hall） RM 315 

 

Introduction: 庄額嘉，台湾大学博士，武汉大学经济与管理学院特聘研究员，研究方向为金融计量，风险理论。已有文章发表于Journal of Econometrics，Oxford Bulletin of Economics and Statistics，Insurance: Mathematics and Economics。

 

Abstract: In this paper, we propose statistical tests for weighted functional inequalities with estimated weights. Such null hypotheses have proven highly relevant in settings where subjects' response times may convey information about important variables that are typically unobservable (e.g., utilities, happiness, or political attitudes). Our tests, implemented through an easy-to-use multiplier bootstrap procedure, have reasonable power and are consistent. Applying our method to revealed preference analysis, we show that it pinpoints the subject's preference relation in 68.83% of cases with choice reversals. Moreover, the out-of-sample predictions based on our test results have a remarkable accuracy rate of 96%.