基于Bootstrap方法的诊断检验

Bootstrap Diagnostic Tests

讲座信息

Seminar Information

主讲人

Speaker

Giuseppe Cavaliere 教授

博洛尼亚大学

Professor Giuseppe Cavaliere

University of Bologna

日期和时间

Date and Time

2026年8月26日（周三）

10:30 - 12:00

August 26, 2026 (Wednesday)

10:30 am - 12:00 pm

地点

Venue

综合教学楼D904会议室

Room 904, Teaching Complex D Building

讲座概述

Abstract

Violation of the assumptions underlying classical (Gaussian) limit theory often yields unreliable statistical inference. This paper shows that the bootstrap can detect such violations by delivering simple and powerful diagnostic tests that (a) induce no pre-testing bias, (b) use the same critical values across applications, and (c) are consistent against deviations from asymptotic normality. The tests compare the conditional distribution of a bootstrap statistic with the Gaussian limit implied by valid specification and assess whether the resulting discrepancy is large enough to indicate failure of the asymptotic Gaussian approximation. The method is computationally straightforward and only requires a sample of i.i.d. draws of the bootstrap statistic. We derive sufficient conditions for the randomness in the data to mix with the randomness in the bootstrap repetitions in a way such that (a), (b) and (c) above hold. We demonstrate the practical relevance and broad applicability of bootstrap diagnostics by considering several scenarios where the asymptotic Gaussian approximation may fail, including weak instruments, non-stationarity, parameters on the boundary of the parameter space, infinite variance data and singular Jacobian in applications of the delta method. An illustration drawn from the empirical macroeconomic literature concludes.

主讲人简介

About the Speaker

Giuseppe Cavaliere 教授

博洛尼亚大学

Giuseppe Cavaliere 教授现为博洛尼亚大学计量经济学教授（2006 年至今），同时担任埃克塞特大学商学院经济学杰出研究教授，并曾受聘于哥本哈根大学、奥胡斯大学担任教授职务；在学术荣誉与学术服务方面，Cavaliere 教授是国际应用计量经济学会（IAAE）当选会士、《Journal of Econometrics》会士，并任诺丁汉大学格兰杰时间序列计量经济学中心（Granger Centre for Time Series Econometrics）研究员，曾任意大利计量经济学会（SIdE）主席。Cavaliere 教授研究成果丰硕，已在《Econometrica》、《The Annals of Statistics》、《Journal of the American Statistical Association》、《Econometric Theory》、《Journal of Econometrics 》等国际顶级学术期刊发表论文，目前担任《 Journal of Econometrics》共同主编，并任 《Journal of Time Series Analysis 》副主编。

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Giuseppe Cavaliere is Full Professor of Econometrics at the University of Bologna (since 2006) and Distinguished Research Professor of Economics at the Exeter Business School. He has been affiliated with professorships at the University of Copenhagen and University of Aarhus. He is also Elected Fellow of the International Association for Applied Econometrics (IAAE), Fellow of the Journal of Econometrics and Research Fellow of the Granger Centre for Time Series Econometrics (University of Nottingham). He has acted as president of the Italian Econometric Association (SIdE). He has published in several international top journals, including Econometrica, The Annals of Statistics, the Journal of the American Statistical Association, Econometric Theory and the Journal of Econometrics. He is a co-editor of the Journal of Econometrics and associate editor of the Journal of Time Series Analysis.