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北大年夜经院任务坊第134场 | A Test for Sparsity(“金融、计量、大年夜数据任务坊”)

2020-04-28  

 

 

演讲人:

Junnan He (Sciences Po, Econ)

 

掌管人:

王熙 (PKU,SOE)

 

标题:

A Test for Sparsity

 

时间:

2020年4月29日(周三)10:00-11:30

 

Webex会议链接:

https://pku.webex.com.cn/pku/j.php?MTID=m061e45780c4a11f0976308c1d19650e3

会议号:602 539 945

 会议暗码:MgFB333SKun

 

 

 

摘要:

Many properties of sparse estimators rely on the assumption that the underlying data generating process is sparse. When this assumption does not hold, a sparse estimator can perform worse than a non-sparse one such as the ridge estimator. We propose a test of sparsity for linear regression models. Our null hypothesis is that the number of non-zero parameters does not exceed a small preset fraction of the total number of parameters. It can be interpreted as a family of generating distributions where each parameter equals zero with a large probability. As the alternative, all parameters are nonzero and of order $1/\sqrt p$ for all $p$ number of parameters. Formally the alternative is a normal distribution, the maximum entropy distribution with zero mean and the variance determined by the ANOVA identity. We derive a test statistic using the theory of robust statistics. This statistic is minmax-optimal when the design matrix is orthogonal, and can be used for general design matrices as a conservative test. As an empirical illustration, we apply our test to an estimated Almost Ideal Demand System and conclude that the vector of cross-price parameters is sparse.

 

主讲人简介:

Junnan He is an Assistant Professor at Sciences Po. His research interests lie in econometrics and decision theory. Primarily, he works on model sparsity, variable selection, and stochastic choice models.

 

北京大年夜学经济学院任务坊

2018年10月,北京大年夜学经济学院、国度生长研究院和新构造经济学研究院杀青框架协作协定,商定采取轮番掌管的方法合营举办任务坊,正式建立了科研范畴的交换创新协作机制。2019年,根据协定,前后成立了七个任务坊:政治经济学任务坊;国际经济学与实证家当组织任务坊;宏不雅经济学任务坊;微不雅实际经济学任务坊;计量经济学和大年夜数据分析任务坊;休息-安康经济学任务坊和生长与公共财务任务坊。2019年七个任务坊合计举办127场活动,这些活动为广大年夜师生供给了优胜的国表里一流学术交换平台,促进了学院之间的学术资本整合和人才网job.vhao.net培养,晋升了广大年夜师生和经济学范畴的研究程度。

 

供稿 | 王熙

美编 | 豆荚

责编 | 阿布、禾禾、奥奥

 

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