Speaker：Yong Li（Professor, Hanqing Advanced Institute of Economics and Finance, Renmin University of China）
Description：In this paper, a new and convenient χ2 wald test based on MCMC outputs is proposed for hypothesis testing. The new statistic can be explained as MCMC version of Wald test and has several important advantages that make it very convenient in practical applications. First, it is well-defined under improper prior distributions and avoids Jeffrey-Lindley’s paradox. Second, it’s asymptotic distribution can be proved to follow the χ2 distribution so that the threshold values can be easily calibrated from this distribution. Third, it’s statistical error can be derived using the Markov chain Monte Carlo (MCMC) approach. Fourth, most importantly, it is only based on the posterior MCMC random samples drawn from the posterior distribution. Hence, it is only the by-product of the posterior outputs and very easy to compute. In addition, when the prior information is available, the finite sample theory is derived for the proposed test statistic. At last, the usefulness of the test is illustrated with several applications to latent variable models widely used in economics and finance.
Time:November 1, 2017（Wednesday）, 15:00-17:00
Venue:Academic Hall, Room 603
