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摘要翻译：
我们开发了一个新的统计程序来检验两组之间的依赖结构是否相同。而不是依赖于单一的指标，如皮尔逊相关系数或肯德尔的Tau，我们通过研究依赖函数（copulas）来考虑整个依赖结构。临界值由改进的随机化过程得到，该过程利用了渐近群不变性条件。测试的实现是直观和简单的，不需要任何调整参数或权重函数的规范。同时，该方法具有优良的有限样本性能，即使在样本容量极小的情况下，零剔除率也几乎与标称水平相当。给出了收入与消费之间的依赖关系以及英国退出欧盟对欧洲金融市场一体化的影响的两个实证应用。
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英文标题：
《Randomization Tests for Equality in Dependence Structure》
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作者：
Juwon Seo
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation coefficient or Kendall's Tau, we consider the entire dependence structure by investigating the dependence functions (copulas). The critical values are obtained by a modified randomization procedure designed to exploit asymptotic group invariance conditions. Implementation of the test is intuitive and simple, and does not require any specification of a tuning parameter or weight function. At the same time, the test exhibits excellent finite sample performance, with the null rejection rates almost equal to the nominal level even when the sample size is extremely small. Two empirical applications concerning the dependence between income and consumption, and the Brexit effect on European financial market integration are provided.
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PDF链接：
https://arxiv.org/pdf/1811.02105
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