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(6-23PM2:30)洪翰教授访问岭南学院系列讲座之四

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报告题目:The Numerical Delta Method

报 告 人:洪翰(斯坦福大学  教授)

时      间:2017年6月23日(周五)下午2:30--4:00

地      点:岭南堂黄炳礼会议室

语      言:中文

 

Abstract:

This paper provides a numerical derivative based Delta method that complements the recent work by Fang and Santos (2014) and also generalizes a previous insight by Song (2014). We show that for an appropriately chosen sequence of step sizes, the numerical derivative based Delta method provides consistent inference for functions of parameters that are only directionally differentiable. Additionally, it provides uniformly valid inference for certain convex and Lipschitz functions which include all the examples mentioned in Fang and Santos (2014). We extend our results to the second order Delta method and illustrate its applicability to inference for moment inequality models. Our empirical application looks at inference for the maximum quantile treatment effect to determine which students benefit the most from a reduction in class size in the Tennessee STAR experiment.

Keywords: Delta Method, Bootstrap, Numerical Differentiation, Directional Differentiability

 

 

报告人简介: 

       1998年博士毕业于斯坦福大学经济学系,1993年本科毕业于中山大学岭南学院,现任美国斯坦福大学经济学系教授,世界计量经济学会院士(Fellow),国际著名经济学杂志《Journal of Econometrics》主编之一、《Journal of Business and Economic Statistics》和《The Econometrics Journal》等的编委,理论计量经济学、应用计量经济学(尤其是产业组织理论及其实证方法)等方面的研究成果卓著。在《Econometrica》、《Journal of American Statistical Association》、《Journal of Business and Economic Statistics》、《Review of Economic Studies》、《Journal of Econometrics》等经济学国际顶级刊物发表论文数十篇,其论文在计量经济学界具有极大影响。论文“An MCMC Approach to Classical Estimation”获国际著名计量经济学期刊《Journal of Econometrics》2004年度最优论文Zellner奖。他先后主持和参与多项美国国家科学基金项目的研究工作,在国际计量学界享有很高的知名度。

研究领域:计量经济学、产业组织、应用微观经济学。

 

个人主页:http://web.stanford.edu/~doubleh/
论文:/UploadFiles/xsbg/2017/6/201706211705364814.pdf

PPT:/UploadFiles/xsbg/2017/6/201706211705494521.pdf

 

 

 

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