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Semiparametric econometric analysis under the existence of endogeneity

Research Project

Project/Area Number 15H03335
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionKyoto University

Principal Investigator

Nishiyama Yoshihiko  京都大学, 経済研究所, 教授 (30283378)

Co-Investigator(Kenkyū-buntansha) 人見 光太郎  京都工芸繊維大学, 基盤科学系, 教授 (00283680)
文 世一  京都大学, 経済学研究科, 教授 (40192736)
小西 葉子  独立行政法人経済産業研究所, 研究グループ, 上席研究員 (70432060)
Project Period (FY) 2015-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥15,990,000 (Direct Cost: ¥12,300,000、Indirect Cost: ¥3,690,000)
Fiscal Year 2018: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2017: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2016: ¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2015: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Keywordsモデル特定化 / モデル選択 / 内生性 / サービス産業 / ミクロデータ分析 / 特定化検定 / 時間価値 / 観光産業 / 計量経済分析 / ミクロ計量経済分析 / サービス産業の計量分析 / 交通サービス / 小売業 / 生産性 / 構造計量モデル / 国際交通インフラ
Outline of Final Research Achievements

Endogeneity is an important issue in econometrics using the observed economic data. We obtain the minimax rate of specification test of instrumental variable regression models. We showed that the rate depends on the smoothness of the model. In case of non-smooth model, we showed that the uniform rate is n^{-1/4} and proposed a testing method which attains the rate. As empirical research, we developed an alternative method to measure the values of transport time for freight transportation, which is based on the hedonic model to determine equilibrium freight charge and transport time. We also study other service industries such as retail and wholesale, beauty, and hotel sectors. We implemented empirical analysis by utilizing microdata of government and private sectors to discuss the effects of related policy based on the evidence. We develop unit root tests for AR models under sequential samplings. We derive the joint distribution of the estimated coefficients and the stopping time.

Academic Significance and Societal Importance of the Research Achievements

計量経済分析において、統計的に扱いの難しい問題に関して、どのように取り扱うのがよいかを調べる研究を行ってきた。特に、構造が大きく変化する可能性がある場合には、どのようなモデルが正しいかを調べるのが難しいことを示した。実証分析においては、トラック輸送、卸売り業、小売業、美容業、宿泊業などの計量分析を行って、それぞれの産業の特色やその産業の従事者の行動に関する経済分析を行った。

Report

(5 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Annual Research Report
  • 2016 Annual Research Report
  • 2015 Annual Research Report
  • Research Products

    (26 results)

All 2019 2018 2017 2016 2015

All Journal Article (10 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 3 results,  Open Access: 1 results) Presentation (14 results) (of which Int'l Joint Research: 6 results) Book (1 results) Funded Workshop (1 results)

  • [Journal Article] The Role of Global Value-Chain in Services: Through Recent Inbound Tourism Boom in Japan2019

    • Author(s)
      Yoko Konishi
    • Journal Title

      Journal of Southeast Asian Economies

      Volume: forthcoming Pages: 1-33

    • Related Report
      2018 Annual Research Report
  • [Journal Article] 近年のわが国の地域別旅行者数に関するジップ法則とジブラ法則:訪日旅行者と邦人旅行者の比較2019

    • Author(s)
      小西葉子・西山慶彦
    • Journal Title

      RIETI-DP

      Volume: 19-J-008 Pages: 1-29

    • Related Report
      2018 Annual Research Report
  • [Journal Article] Empirical Analysis of Transport Cost for Interregional Trade2018

    • Author(s)
      Yoko Konishi, Se-il Mun, Yoshihiko Nishiyama and Ji-eun Sung
    • Journal Title

      Transportation, Knowledge and Space in Urban and Regional Economics

      Volume: 1 Pages: 146-172

    • DOI

      10.4337/9781785366062.00015

    • ISBN
      9781785366062, 9781785366055
    • Related Report
      2018 Annual Research Report
  • [Journal Article] Are the effects of blood pressure lowering treatment diminishing?: Meta-regression2018

    • Author(s)
      Yoichi Sekizawa, Yoko Konishi and Moriyo Kimura
    • Journal Title

      Clinical Hypertension

      Volume: 24:16 Issue: 1 Pages: 2-7

    • DOI

      10.1186/s40885-018-0101-9

    • Related Report
      2018 Annual Research Report
  • [Journal Article] 冷蔵庫の省エネ効率性に対する支払意思額と主観的割引率の推定:POSデータを活用した「統一省エネルギーラベル」の評価2018

    • Author(s)
      小西葉子・齋藤敬・石川斗志樹
    • Journal Title

      RIETI-DP

      Volume: 18-J-023 Pages: 1-31

    • Related Report
      2018 Annual Research Report
  • [Journal Article] Global Service Value Chain in Japan: Inbound tourism cases2017

    • Author(s)
      Yoko Konishi
    • Journal Title

      RIETI Policy Discussion Paper Series

      Volume: 17-P-011 Pages: 1-36

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On the Role of Skill, Quality, and Environmental Factors on Customer Behavior of the Beauty Industry2017

    • Author(s)
      Yoko Konishi
    • Journal Title

      RIETI Discussion Paper Series

      Volume: 17-E-035 Pages: 1-35

    • Related Report
      2017 Annual Research Report 2016 Annual Research Report
  • [Journal Article] Volatility forecast of stock indexes by model averaging using high-frequency data2015

    • Author(s)
      Wang,C. and Y. Nishiyama
    • Journal Title

      International Review of Economics & Finance

      Volume: - Pages: 1-29

    • DOI

      10.1016/j.iref.2015.02.014

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Volatility forecast of stock indexes by model averaging using high-frequency data2015

    • Author(s)
      Wang,C. and Y. Nishiyama
    • Journal Title

      International Review of Economics & Finance

      Volume: 40 Pages: 324-337

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Joint Provision of International Transport Infrastructure2015

    • Author(s)
      S. Mun
    • Journal Title

      Kyoto University, Graduate School of Economics, Discussion Paper Series

      Volume: E-15-015 Pages: 1-17

    • Related Report
      2015 Annual Research Report
    • Open Access
  • [Presentation] Comparing Consumer Preference for Energy-Saving Between E-commerce Shopping and Real Store Shopping: Case of Japan’s Home Electric Appliances2019

    • Author(s)
      Yoko Konishi
    • Organizer
      Workshop on Recent Developments in Econometric Theory and Its Applications
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Sequential detection of order of integration for AR processes2019

    • Author(s)
      Kotaro Hitomi
    • Organizer
      Workshop on Recent Developments in Econometric Theory and Its Applications
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Sequential Unit Root Test2019

    • Author(s)
      Yoshihiko Nishiyama
    • Organizer
      Workshop on Recent Developments in Econometric Theory and Its Applications
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Sequential Unit Root Test2018

    • Author(s)
      Yoshihiko Nishiyama
    • Organizer
      Waseda International Symposium 「Introduction of general causality to various data and its innovation of the optimal inference 」
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Zipf’s and Gibrat’s Laws for Tourist Flows in Japan: 2011-2017,”2018

    • Author(s)
      Yoko Konishi
    • Organizer
      Data Science Workshop
    • Related Report
      2018 Annual Research Report
  • [Presentation] Current Status and Challenges of Japan’s Inbound Tourism Boom: evidence from Japan’s city level data2018

    • Author(s)
      Yoko Konishi
    • Organizer
      27th Annual Conference of the Northeast Asia Economic Forum, the Northeast Asia Economic Forum
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Measuring the Value of Time in Freight Transportation2017

    • Author(s)
      Y. Konishi
    • Organizer
      the 4th Conference of the International Association for Applied Econometrics
    • Related Report
      2017 Annual Research Report
  • [Presentation] Optimal Minimax Rates of Specification Tests for IV Regression2017

    • Author(s)
      M.Iwasawa
    • Organizer
      日本経済学会春季大会 名古屋大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] Optimal Minimax Rates of Specification Tests for IV Regression2017

    • Author(s)
      M.Iwasawa
    • Organizer
      The Econometric Society Australasia Meeting, Sydney
    • Related Report
      2016 Annual Research Report
  • [Presentation] Optimal Minimax Rates of Specification Tests for IV Regression2017

    • Author(s)
      M.Iwasawa
    • Organizer
      The Econometric Society Asia Meeting, Kyoto
    • Related Report
      2016 Annual Research Report
  • [Presentation] Optimal Minimax Rates of Specification Tests for IV Regression2017

    • Author(s)
      M.Iwasawa
    • Organizer
      German Statistical Society Statistische Woche, Augsburg
    • Related Report
      2016 Annual Research Report
  • [Presentation] What Causes Customers to Come Back? : A Microdata Analysis Using Data from Japanese Hair Salon2017

    • Author(s)
      Yoko Konishi
    • Organizer
      統計関連学会連合大会 金沢大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] What Causes Customers to Come Back? : A Microdata Analysis Using Data from Japanese Hair Salon2016

    • Author(s)
      Yoko Konishi
    • Organizer
      日本マーケティング・サイエンス学会、 マーケティングの統計的モデリング研究部会
    • Place of Presentation
      筑波大学東京キャンパス
    • Year and Date
      2016-02-13
    • Related Report
      2015 Annual Research Report
  • [Presentation] Optimal minimax rates of specification tests for IV regression2015

    • Author(s)
      Yoshihiko Nishiyama
    • Organizer
      Recent Progress in Time Series and Related Fields
    • Place of Presentation
      Tohoku University
    • Year and Date
      2015-12-11
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Book] Transportation, Knowledge and Space in Urban and Regional Economics2017

    • Author(s)
      Yoko Konishi, Se-il Mun, Yoshihiko Nishiyama and Ji-eun Sung
    • Total Pages
      250
    • Publisher
      Edward Elgar
    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] Workshop on Recent Developments in Econometric Theory and Its Applications2019

    • Related Report
      2018 Annual Research Report

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Published: 2015-04-16   Modified: 2023-03-16  

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