上海財(cái)經(jīng)大學(xué)經(jīng)濟(jì)學(xué)院邀請(qǐng)Jing Tao老師作了一場(chǎng)題為“Inference for Point and Partially Identified Semi-Nonparametric Conditional Moment Models(推斷點(diǎn)和部分鑒定半非參數(shù)條件矩模型)”的講座，上海財(cái)經(jīng)大學(xué)目前擁有會(huì)計(jì)學(xué)、財(cái)政學(xué)、經(jīng)濟(jì)思想史3個(gè)國(guó)家級(jí)重點(diǎn)學(xué)科，金融學(xué)為國(guó)家重點(diǎn)(培育)學(xué)科;擁有4個(gè)財(cái)政部重點(diǎn)學(xué)科、6個(gè)上海市重點(diǎn)學(xué)科；設(shè)有國(guó)家經(jīng)濟(jì)學(xué)基礎(chǔ)人才培養(yǎng)基地、國(guó)家大學(xué)生文化素質(zhì)教育基地、教育部人文社會(huì)科學(xué)重點(diǎn)研究基地--會(huì)計(jì)與財(cái)務(wù)研究院3個(gè)國(guó)家級(jí)基地；并擁有理論經(jīng)濟(jì)學(xué)、應(yīng)用經(jīng)濟(jì)學(xué)、工商管理、管理科學(xué)與工程4個(gè)一級(jí)學(xué)科博士學(xué)位授權(quán)點(diǎn)，44個(gè)二級(jí)學(xué)科博士學(xué)位授權(quán)點(diǎn)，哲學(xué)、理論經(jīng)濟(jì)學(xué)、應(yīng)用經(jīng)濟(jì)學(xué)、工商管理4個(gè)博士后流動(dòng)站。講座的主要內(nèi)容是：

　　這項(xiàng)工作考慮半非參數(shù)條件矩模型，其中感興趣的參數(shù)包括有限維參數(shù)和未知的功能。我們主要專(zhuān)注于在這個(gè)框架的兩個(gè)推理問(wèn)題。首先，我們提供了參數(shù)和參數(shù)的函兩finite-和無(wú)限維成分的估計(jì)一致推斷的新方法�；�于這些結(jié)果，我們可以，例如，建立對(duì)未知函數(shù)和未知函數(shù)的偏導(dǎo)數(shù)均勻置信帶。最近，各種車(chē)型統(tǒng)一的信心樂(lè)隊(duì)如條件均值和分位數(shù)都使用強(qiáng)近似方法(貝羅尼，Chernozhukov和費(fèi)爾南德斯 - 瓦爾，2011年，和相關(guān)工作)相繼推出。我們延長(zhǎng)了強(qiáng)烈的近似方法提供統(tǒng)一的推論在條件矩限制型號(hào)的內(nèi)生性。其次，對(duì)于大班的條件矩限制車(chē)型，我們提供了新的推理結(jié)果時(shí)的參數(shù)只有部分確定。在部分鑒定，我們將展示如何通過(guò)轉(zhuǎn)換，它也點(diǎn)標(biāo)識(shí)下使用準(zhǔn)似然比(QLR)統(tǒng)計(jì)，構(gòu)建逐點(diǎn)置信區(qū)間。我們提供用于獲得對(duì)應(yīng)于所述QLR臨界值一致的乘數(shù)自舉過(guò)程。此外，我們概括從點(diǎn)確定情況下，統(tǒng)一置信帶統(tǒng)一的信心通過(guò)反轉(zhuǎn)SUP-QLR統(tǒng)計(jì)設(shè)置了未知功能的域。新方法應(yīng)用于構(gòu)造逐點(diǎn)置信區(qū)間和均勻的置信帶為形狀不變恩格爾曲線(xiàn)。

　　原文：This work considers semi-nonparametric conditional moment models where the parameters of interest include both finite-dimensional parameters and unknown functions. We mainly focus on two inferential problems in this framework. First, we provide new methods of uniform inference for the estimates of both finite- and infinite-dimensional components of the parameters and functionals of the parameters. Based on these results, we can, for instance, construct uniform confidence bands for the unknown functions and the partial derivatives of the unknown functions. Recently, uniform confidence bands for a variety of models such as conditional mean and quantiles have been introduced using strong approximation methods (Belloni, Chernozhukov and Fernández-Val, 2011, and related work). We extend the strong approximation approach to provide uniform inference in conditional moment restriction models with endogeneity. Second, for a large class of conditional moment restrictions models, we provide new results for inference when parameters are only partially identified. Under partial identification, we show how to construct pointwise confidence regions by inverting a quasi-likelihood ratio (QLR) statistic that is also employed under point identification. We provide a consistent multiplier bootstrap procedure for obtaining critical values corresponding to the QLR. Furthermore, we generalize the uniform confidence bands from point identified case to uniform confidence sets over the domain of the unknown functions by inverting a sup-QLR statistic. The new methods are applied to construct pointwise confidence intervals and uniform confidence bands for shape-invariant Engel curves.