双周论坛：Bayesian Hypothesis Testing in Latent Variable Models
11月16日双周论坛
【本期主题】 Bayesian Hypothesis Testing in Latent Variable Models
Hypothesis testing using Bayes factors (BFs) is known not to be well definedunder the improper prior. In the context of latent variable models, an additional problem with BFs is that they are difficult to compute. In this paper, a new Bayesian method, based on decision theory and the EM algorithm, is introduced to test a point hypothesis in latent variable models. The new statistic is a by-product of the Bayesian MCMC output and, hence, easy to compute. It is shown that the new statistic is appropriately defined under improper priors because the method employs a continuous loss function. In addition, it is easy to interpret. The method is illustrated using a one-factor asset pricing model and a stochastic volatility model with jumps.
【报告人】 李勇 中山大学管理学院副教授
新加坡管理大学Sim Kee Boon Institure博士后
【时 间】11月16日（周三） 中午12:00点
【地 点】明德主楼714室
报告人简介：
李勇，中山大学管理学院财务与投资系副教授，新加坡管理大学Sim Kee Boon Institure金融经济学博士后,香港中文大学博士。李勇博士为中国计量经济学学会会员，他的研究方向是贝叶斯金融计量经济学, 金融投资学, 金融信用风险管理, 基金投资学， 理论计量经济学, 贝叶斯预测等。李勇博士于中文核心期刊发表了数十篇学术论文，其中有6篇收录于SSCI，SCI索引，并担任包括国家自然科学基金项目在内的多个研究项目主持人。