Speaker: Associate Professor Xiaojun SONG(Guanghua School of Management, Peking University)

Host: Prof. Anzhou ZHANG (Liaoning University)

Guest introduction: Professor You Yu (Li Anmin Economic Research Institute, Liaoning University)

Time: Jun. 25 2023 (Sunday) 14:00-15:30 (Beijing time)

Location: Conference Room, First Floor, Wuzhou Garden

Online Venue: Tencent Meeting (Meeting 300 7551 6895

Language: Mandarin/English

Abstract：We propose a novel class of specification tests for regression models with measurement errors. The highlight of our method is the introduction of a projection device to eliminate the parametric estimation effect, which is a common issue in non-smoothing type tests. The resulting projection-based tests have asymptotic null distributions that are invariant to the estimator used. Besides, the proposed method allows for a slower convergence rate of the parametric estimator. We suggest a convenient multiplier bootstrap method to simulate the critical values as accurately as desired. Finally, we evaluate the finite sample performance of the proposed tests through Monte Carlo simulations.