Statistics Department Seminar Series: Eun Yi Chung, Assistant ...

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Statistics Department Seminar Series: Eun Yi Chung, Assistant Professor, Department of Economics, University of Illinois at Urbana-Champaign

"Permutation Tests at Nonparametric Rates"

Abstract: 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 non-parametric functions evaluated at a point. Lastly, simulations show good finite sample properties of our tests. This seminar will be livestreamed via Zoom https://umich.zoom.us/j/94350208889 There will be a virtual reception to follow https://economics.illinois.edu/profile/eunyi

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• Department of Statistics Seminar Series

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Livestream March 5, 2021 (Friday) 10:00am Join In Browser

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March 2021

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