International College of Economics and Finance

ICEF Research Seminar by Tatiana Komarova (LSE)

On Thursday, May 17 at 4.40 pm, room 3402 (Shabolovka str. 26) ICEF held the Research Seminar.
Speaker: Tatiana Komarova (LSE)
Theme: "Testing Nonparametric Shape Restrictions" joint with J. Hidalgo

Abstract: We describe and examine a test for shape constraints, such as monotonicity, convexity (or both such properties simultaneously), U-shape and others, in a nonparametric framework using partial sums empirical processes. We show that, after a suitable transformation, its asymptotic distribution is a functional of the standard Brownian motion, so that critical values are available. However, due to the possible poor approximation of the asymptotic critical values to the finite sample ones, we also describe a valid bootstrap algorithm. In addition, we outline how the methodology can be extended to a framework when other covariates are present and no shape-related properties are imposed on them.

ICEF seminars