時間：2022年7月11日（周一）16.00

平台：騰訊在線會議 會議ID：159-816-348 

主講人：李勇

李勇教授，中國人民大學計量經濟學和金融學教授(博導)，首批教育部青年長江學者， 香港中文大學統計學博士，新加坡管理大學金融學博士後。現任中國人民大學經濟學院副院長。他主要的研究方向是貝葉斯金融計量經濟學，量化投資，資産管理。李勇教授在《Journal of Econometrics》、《經濟研究》、《管理世界》等雜志共發表文章近50篇, 出版學術專著一部，編著一部。 曾獲教育部自然科學二等獎，人文社會科學三等獎，入選教育部新世紀人才計劃，北京市青年優秀人才計劃。

内容摘要：

Hypothesis testing based on p-values has been criticized in recent years. The conventional Bayes factors (BFs) have been tipped as possible replacements of p-values. However, conventional BFs suffer from several theoretical and practical difficulties. For example, the conventional BFs are not well-defined under improper priors and they subject to Jeffreys-Lindley-Bartlett's paradox when proper but vague priors are used. Moreover, they are difficult to compute for many models. In this paper, we propose to compare the sampling distributions of the posterior-test-based statistics for hypothesis testing. Two posterior-test-based statistics are considered, namely the posterior version of likelihood ratio (LR) test and the posterior version of Wald test. Under some regularity conditions, we establish the consistency property of the new method. We also show how the proposed method can address the problems in p-values and those in the conventional BFs. The advantages of the proposed method are highlighted using several simulation studies and empirical financial studies.

主持人：

張學勇

bevictor伟德官网研究生工作部部長、研究生院院長、bevictor伟德官网教授、中國資産管理研究中心主任

主辦單位：

bevictor伟德官网

中國資産管理研究中心