中大岭南：香港科大经济系陈松年教授讲座

讲座题目:Binary Quantile Regression with Local Polynomial Smoothing

时 间：2013年11月15日(周五)下午：4:00-5:30

地 点：新MBA大楼601室

Abstract

Manski (1975, 1985) proposed the maximum score estimator for the binary choice model under a weak conditional median restriction. Cavanagh (1987) and Kim and Pollard (1990) established that the maximum score estimator converges at the rate of n^(-1/3) and the standardized version has a nonstandard distribution. By imposing some additional smoothness conditions, Horowitz (1992) proposed a smoothed maximum score estimator and showed that it converges at least at the rate of n^(-2/5) and can be arbitrarily close to n^(-1/2) under certain smoothness condition. Furthermore, the smoothed maximum score estimator, after standardization, is shown to be asymptotically normal. However, Horowitz’s estimator is known to have large finite sample biases and is quite sensitive to the choice of smoothing parameter. These problems, which have not yet been addressed systematically in the literature, are largely due to the close connection between Horowitz’s estimator and the nonparametric kernel regression estimation. In the nonparametric estimation literature local polynomial regression estimators (e.g., Fan and Gijbels (1996)) are known to have favorable finite sample and asymptotic properties over the kernel regression estimator. In this paper we propose a novel framework which leads naturally to a local polynomial smoothing based estimator. As expected, our estimator possesses finite sample and asymptotic properties typically associated with the local polynomial regression estimator. We also show that our local polynomial based estimator can be extended to the panel data setting. Simulation results suggest that our estimators may offer dramatic improvement over the smoothed maximum score estimators.

个人简介：

陈松年(Songnian Chen)教授，1994 年毕业于普林斯顿大学(Princeton　University)经济学系，获经济学博士学位，现为香港科技大学讲席教授(Chair　Professor)，曾任新加坡国立大学经济学系教授，国际知名的计量经济学家。陈教授在计量经济学特别是微观计量经济学领域造诣深厚，其在删失回归、样本选择模型、半参数变换模型、分位数回归等领域的研究享誉国际。陈教授已在Econometrica、 Review of Economic Studies、Journal of Econometrics、Journal of　 American Statistical Association,、Annals of Statistics 等国际顶级学术期刊发表论文近 30 篇。自2002 年起任Journal of Econometrics 的Fellow、副主编。