New Developments in Microeconometrics : Theories and Applications

• Project/Area Number: 18203013
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: The University of Tokyo
• Principal Investigator: KUNITOMO Naoto The University of Tokyo, 大学院・経済学研究科, 教授 (10153313)
• Co-Investigator(Kenkyū-buntansha): OHYA Kousuke 大阪大学, 大学院・経済学研究科, 教授 (20233281) ; ICHIMURA Hidehiko 東京大学, 大学院・経済学研究科, 教授 (50401196) ; TAKAHASHI Hajime 一橋大学, 大学院・経済学研究科, 教授 (70154838) ; OMORI Yasuhiro 東京大学, 大学院・経済学研究科, 准教授 (60251188) ; SAWADA Yasuyuki 東京大学, 大学院・経済学研究科, 准教授 (40322078) ; OHASHI Hiroshi 東京大学, 大学院・経済学研究科, 准教授 (00361577)
• Project Period (FY): 2006 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥26,520,000 (Direct Cost: ¥20,400,000、Indirect Cost: ¥6,120,000); Fiscal Year 2008: ¥8,840,000 (Direct Cost: ¥6,800,000、Indirect Cost: ¥2,040,000); Fiscal Year 2007: ¥8,840,000 (Direct Cost: ¥6,800,000、Indirect Cost: ¥2,040,000); Fiscal Year 2006: ¥8,840,000 (Direct Cost: ¥6,800,000、Indirect Cost: ¥2,040,000)
• Keywords: (1) ミクロ計量経済学 / (2) ミクロ・データ解析 / (3) 政策プログラム評価問題 / (4) セミ・パラメトリック法 / (5) パネル・データ分析 / ミクロ計量経済モデル / プログラム政策評価 / ノンパラメトリック実証分析 / 産業組織 / ミクロ金融市場 / 開発経済 / 公益産業 / パネル計量経済モデル / ミクロ計量経済分析

Research Abstract

本プロジェクトでは近年において目覚ましく発展しているミクロ計量経済学(Micro-econometrics)の理論および実証分析の展開を踏まえて、統計的理論と経済学的実証分析の両面において研究活動を行った。特に政策プログラム評価問題、パネル計量経済分析、多操作変数(many instruments)問題、弱操作変数(weak instruments)問題などに関連する統計的理論と経済的実証分析について多くの研究成果があった。

Research Products

• [Journal Article] Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations (2009)
  • Author(s): Kunitomo, Naoto and Yukitoshi Matsushita
  • Journal Title: Journal of Multivariate Analysis (印刷中)
  • Peer Reviewed
• [Journal Article] On Finite Sample Properties of Alternative Estimators of Coefficients in a Structural Equation with Many Instruments (2009)
  • Author(s): Anderson, T. W.; Naoto Kunitomo and Yukitoshi Matsushita
  • Journal Title: Journal of Econometrics (印刷中,)
  • Peer Reviewed
• [Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise (2009)
  • Author(s): M. Ubukata and K. Oya
  • Journal Title: Journal of Financial Econometrics (印刷中)
  • Peer Reviewed
• [Journal Article] Tobit model with covariate dependent thresholds (2009)
  • Author(s): Y. Omori and K. Miyawaki
  • Journal Title: Computational Statistics and Data Analysis (掲載決定)
  • Peer Reviewed
• [Journal Article] Those Who Are Left Behind : An Estimate of the Number of Family Members of Suicide Victims in Japan (2009)
  • Author(s): Chen, Joe, Yun Jeong Choi, Kohta Mori, Yasayuki Sawada and Saki Sugano
  • Journal Title: Social Indicators Research (掲載決定,)
  • Peer Reviewed
• [Journal Article] Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations (2009)
  • Author(s): Kunitomo, Naotoand Yukitoshi Matsushita
  • Journal Title: (CIRJE-F-611) , Journal of Multivariate Analysis (印刷中)
  • Peer Reviewed
• [Journal Article] On Finite Sample Properties of Alternative Estimators of Coefficients in a Structural Equation with Many Instruments (2009)
  • Author(s): Anderson, T. W., Naoto Kunitomo and Yukitoshi Matsushita
  • Journal Title: (CIRJE-F-577) , Journal of Econometrics. (印刷中)
  • Peer Reviewed
• [Journal Article] Identification and Estimation of Nonparametric Transformation Model (2009)
  • Author(s): Hidehiko Ichimura and Sokbae Lee
  • Journal Title: CIRJE Discussion Paper (印刷中)
• [Journal Article] Identification and Estimation of Parameters in Models with Missing Variablesby Combining Two Data Sets (2009)
  • Author(s): Hidehiko Ichimura and ElenaMartinez-Sanchis
  • Journal Title: CIRJE Discussion Paper (印刷中)
• [Journal Article] 株式市場におけるブル相場・ベア相場の日次データを用いた分析-ベイジアンアプローチ- (2009)
  • Author(s): 大鋸崇・大屋幸輔
  • Journal Title: ジャフィー・ジャーナル (印刷中)
  • Peer Reviewed
• [Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise:Dependence, Rare Jumps and Endogeneity (2009)
  • Author(s): M. Ubukata and K. Oya
  • Journal Title: ecent Advance in Financial Engineering, Wold Scientific (印刷中)
  • Peer Reviewed
• [Journal Article] Efficient semiparametric Bayesian estimation of multivariate discrete proportional hazards model with random effects (2009)
  • Author(s): Y. Omori and R. A. Johnson
  • Journal Title: Communications in Statisteics-Theory and Methods Vol.38No.1 Pages: 29-41
  • Peer Reviewed
• [Journal Article] Leverage, heavy-tails and correlated jumps in stochastic volatility models (2009)
  • Author(s): J. Nakajima and Y. Omori
  • Journal Title: J. Nakajima and Y. Omori Vol.53No.6 Pages: 2335-2353
  • Peer Reviewed
• [Journal Article] Estimating stochastic volatility models using daily returns and realized volatility simultaneously (2009)
  • Author(s): M. Takahashi, Y. Omori andT. Watanabe
  • Journal Title: Computational Statistics and Data Analysis Vol.53No.6 Pages: 2404-2426
  • Peer Reviewed
• [Journal Article] Multivariate Stochastic Volatility (2009)
  • Author(s): S. Chib, Y. Omori and M. Asai
  • Journal Title: 書籍:Handbook of Financial Time Series (eds T. G. Andersen, R. A. Davis, Jens-Peter Kreiss and T. Mikosch) Springer-Verlag, New York (印刷中)
  • Peer Reviewed
• [Journal Article] Tobit model With covariate dependent thresholds (2009)
  • Author(s): Y. Omori and K. Miyawaki
  • Journal Title: Computational Statistics and Data Analysis (掲載決定)
  • Peer Reviewed
• [Journal Article] Those Who Are Left Behind:An Estimate of the Number of Family Members ofSuicide Victims in Japan (2009)
  • Author(s): Chen, Joe, Yun Jeong Choi, Kohta Mori, Yasayuki Sawada and Saki Sugano
  • Journal Title: Social Indicators Research (掲載決定)
  • Peer Reviewed
• [Journal Article] Assessing the Consequence of a Horizontal Merger and its Remedies ina Dynamic EnVironment (2009)
  • Author(s): Hiroshi Ohashi
  • Journal Title: CIRJE Discussion Paper F-609
• [Journal Article] Smoothed versions of statistical functionals from a finite population (2008)
  • Author(s): Hitoshi Motoyama and Hajime Takahashi
  • Journal Title: J. Japan Statist. Soc Vol.38 No.3 Pages: 475-504
  • NAID: 110007122368
  • Peer Reviewed
• [Journal Article] Effects of Technology Adoption on Productivity and Industry Growth : Steel Refining Furnaces (2008)
  • Author(s): Hiroshi Ohashi, Tsuyoshi Nakamura
  • Journal Title: Journal of Industrial Economics LVI(3) Pages: 744-757
  • Peer Reviewed
• [Journal Article] Improving the Rank-Adjusted Anderson-Rubin Test with Many Instrumentsand Persistent Heteroscedasticity (2008)
  • Author(s): Kunitomo, Naotoand Yukitoshi Matsushita
  • Journal Title: Center for International Research on the Japanese Economy (東京大学 Discussion Paper Series) CIRJE-F-588 Pages: 1-26
• [Journal Article] Improving the LIML Estimation with Many Instruments and PersistentHeteroscedasticity (2008)
  • Author(s): Kunitomo, Naoto
  • Journal Title: Center for International Research on the Japanese Economy (東京大学 Discussion Paper Series) F-576 Pages: 1-25
• [Journal Article] Estimating Derivatives in Nonseparable Models with Limited Dependent Variables (2008)
  • Author(s): Joseph Altonji, Hidehiko Ichimura, Taisuke Otsu
  • Journal Title: CIRJE Discussion Paper F574
• [Journal Article] Smoothed versions of statistical functionals from afinite population (2008)
  • Author(s): Hitoshi Motoyama and Hajime Takahashi
  • Journal Title: Hitoshi Motoyama and Hajime Takahashi Vol.38 No.3 Pages: 475-504
  • Peer Reviewed
• [Journal Article] TOPIX収益率のマルコフ・スイッチング非対称確率的ボラティリティ変動モデルによる分析-順列サンプラーによる探索- (2008)
  • Author(s): 石原庸博・大森裕浩
  • Journal Title: 現代ファイナンス 24 Pages: 75-100
  • NAID: 130007528300
  • Peer Reviewed
• [Journal Article] MCMCとその確率的ボラティリティ変動モデルへの応用 (2008)
  • Author(s): 大森裕浩・渡部敏明
  • Journal Title: 書籍「21世紀の統計科学I社会・経済と統計科学」国友直人・山本拓編東大出版会 1 Pages: 223-266
  • Peer Reviewed
• [Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatilitymodels (2008)
  • Author(s): Y. Omori and T. Watanabe
  • Journal Title: Computational Statistics and Data Analysis Vol.52No.6 Pages: 2892-2910
  • Peer Reviewed
• [Journal Article] Effects of Technology Adoption on Productivity and Industry Growth:Steel Refining Furnaces (2008)
  • Author(s): Hiroshi Ohashiwith Tsuyoshi Nakamura
  • Journal Title: Journal of Industrial Economics, LVI(3) Pages: 744-57
  • Peer Reviewed
• [Journal Article] Effects of Transparency in Procurement Practices on Government Expenditure:A Case Study of Municipal Public Works (2008)
  • Author(s): Hiroshi Ohashi
  • Journal Title: CIRJE Discussion Paper F-555
• [Journal Article] How does Ownership Structure Affect the Timing of New Product Introductions?Evidence from the U. S. Video Game Market (2008)
  • Author(s): Hiroshi Ohashi
  • Journal Title: CIRJE Discussion Paper F-325
• [Journal Article] How to Measure the Outcome of Innovations:Application to Product Innovations, "Prepared for the Global Innovation EcoSystem (2008)
  • Author(s): Hiroshi Ohashi
  • Journal Title: CIRJE Discussion Paper F-555
• [Journal Article] Effects of User Innovations on Industry Growth:Evidence from Steel RefiningTechnology (2008)
  • Author(s): Hiroshi Ohashi
  • Journal Title: NISTEPDP 08-J-059
• [Journal Article] On the Asymptotic Optimality of the LIML Estimator with Possibly Many Instruments (2008)
  • Author(s): Naoto Kunitomo
  • Journal Title: CIRJE Discussion Paper F-542
• [Journal Article] Effects of user innovation on industry growth:Evidence from steelrefining technology (2008)
  • Author(s): Hiroshi Ohashi & Tsuyoshi Nakamura(共著)
  • Journal Title: NISTEP Discussion Paper No.46
• [Journal Article] Ornstein Uhlenbeck過程モデルによる気温デリバティブのプライシング (2008)
  • Author(s): 高橋 一(戸辺、川野輪との共著)
  • Journal Title: 一橋大学 経済研究 (印刷中)(掲載確定)
  • NAID: 110007622495
• [Journal Article] A Test for Dependence and Covariance Estimator of Market Microstructure Noise (2008)
  • Author(s): Kosuke Oya(with Ubukata 共著)
  • Journal Title: Discussion Papers In Economics And Business
• [Journal Article] マーケット・マイクロストラクチャー・ノイズの系列相関の推定 (2008)
  • Author(s): 大屋 幸輔
  • Journal Title: 大阪大学経済学 57-4
  • NAID: 120004848741
• [Journal Article] Block sampler and posterior mode estimation for asymmetricstochastic volatility models (2008)
  • Author(s): Omori, Y. and Watanabe, T.(共著)
  • Journal Title: Computational Statistics and Data Analysis 52-6 Pages: 2892-2910
• [Journal Article] Leverage,heavy-tails and correlated jumps in stochasticvolatility models (2008)
  • Author(s): Nakajima, J. and Omori, Y
  • Journal Title: Computational Statistics and Data Analysis (掲載確定)
• [Journal Article] MCMC法とその確率的ボラテイリテイ変動モデルへの応用 (2008)
  • Author(s): 大森 裕浩, 渡部 敏明
  • Journal Title: 『社会・経済と統計科学』(『21世紀の統計科学』)東京大学出版会(書籍) (掲載確定)
• [Journal Article] Changes in the Distribution of Male and Female Wages Accounting for Employment Composition Using Bounds (2007)
  • Author(s): R.Blundell, A.Gosling, H.Ichimura and C.Meghir
  • Journal Title: Econometrica Vol.75No.2 Pages: 323-363
  • Peer Reviewed
• [Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model (2007)
  • Author(s): Omori, Y
  • Journal Title: Statistics and Probability Letters Vol.77No.12,1 Pages: 1300-1311
  • Peer Reviewed
• [Journal Article] Effects of Stochastic Interest rates and Volatility on Contingent Claims (2007)
  • Author(s): Naoto Kunitomo with Y.Kim
  • Journal Title: Japanese Economic Review 88 Pages: 71-106
• [Journal Article] The Conditional Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations (2007)
  • Author(s): Naoto Kunitomo
  • Journal Title: CIRJE Discussion Paper F-503
• [Journal Article] On Likelihood Ratio Tests of Structural Coefficients:Anderson-Rubin(1949)revisited (2007)
  • Author(s): Naoto Kunitomo
  • Journal Title: CIRJE Discussion Paper F-499
• [Journal Article] 多変量因子確率的ボラティリティ変動モデル (2007)
  • Author(s): 大森 裕浩
  • Journal Title: 一橋大学『経済研究』 88 Pages: 335-351
  • NAID: 120005252927
• [Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model (2007)
  • Author(s): Omori, Y
  • Journal Title: Statistics and Probability Letters 77-42 Pages: 1300-1311
• [Journal Article] Stochastic volatility model with leverage:fast and efficientlikelihood inference (2007)
  • Author(s): Omori, Y. Chib, S., Shephard, N. and Nakajima, J.(共著)
  • Journal Title: Journal of Econometrics 140-2 Pages: 425-449
• [Journal Article] Duality-based analysis of residential gas demand underdecreasing block rate pricing (2007)
  • Author(s): Miyawaki, K. and Omori, Y.(共著)
  • Journal Title: Discussion paper series F-506
• [Journal Article] 「季節調整法」 (2007)
  • Author(s): 国友 直人
  • Journal Title: 「計量経済学ハンドブック14章(収録)」(図書)朝倉書店
• [Journal Article] Effects of Stochastic Interest Rates and Volatility on Contingent Claims (2007)
  • Author(s): Naoto Kunitomo and Y.-J. Kim (共著)
  • Journal Title: The Japanese Economic Review Vol.58,no.1 Pages: 71-106
• [Journal Article] "Changes in the Distribution of Male and Female Wages Accounting for Employment Composition Using Bounds" (2007)
  • Author(s): R. Blundell, A. Gosling, H. Ichimura And C. Meghir (共著)
  • Journal Title: Econometrica (掲載決定)
• [Journal Article] "Test of Unbiasendness of the Integrated Covariance Estimation in the Presence of Noise" (2007)
  • Author(s): M. Ubukata and K. Oya(共著)
  • Journal Title: Discussion Papers, Graduate School of Economics and Osaka School of International public Policy(OSIPP) 07-03
• [Journal Article] "Stochastic volatility model with leverage: fast likelihood inference" (2007)
  • Author(s): Omori, Y., Chib, S., Shephard, N. and Nakajima, J.(共著)
  • Journal Title: Journal of Econometrics (掲載決定)
• [Journal Article] "Efficient Gibbs sampler for Bayesian analysis of a sample selection model" (2007)
  • Author(s): Omori, Y.
  • Journal Title: Statistics and Probability Letters (掲載決定)
• [Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models (2006)
  • Author(s): Omori, Y. and Johnson,R.A
  • Journal Title: Communications in Statistics-Theory and Methods Vol.35 Pages: 1757-1764
  • Peer Reviewed
• [Journal Article] 変額年金保険の統計的リスク管理法:局面転換モデルの利用リスクと保険 (2006)
  • Author(s): 秋山豪太・国友直人(共著)
  • Journal Title: 日本アクチュアリー会 Pages: 1-40
  • NAID: 40007258161
• [Journal Article] "Characterization of the Asymptotic Distribution of Semiparametric M-Estimators" (2006)
  • Author(s): H. Ichimura and S. Lee(共著)
  • Journal Title: CIRJE Discussion Paper F452
• [Journal Article] "New Evidences on What Job Creation and Job Destruction Represent" (2006)
  • Author(s): C. Corseuil and H. Ichimura(共著)
  • Journal Title: RIETI Discussion Paper
• [Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models" (2006)
  • Author(s): Omori, Y, and Johnson, R.A.(共著)
  • Journal Title: Communications in Statistics-Theory and Methods 35 Pages: 1757-1764
• [Journal Article] "Bayesian estimation of demand functions under block rate pricing" (2006)
  • Author(s): Miyawaki, K., Omori, Y. and Hibiki, A.(共著)
  • Journal Title: CIRJE Discussion Paper F-424
• [Journal Article] "Implementing Nonparametric and Semiparametric Estimators"
  • Author(s): H. Ichimura and P. Todd(共著)
  • Journal Title: Handbook of Econometrics Volume6, Elsevier(図書) (掲載決定)
• [Presentation] Bias corrected realized volatility with dependent microstructure noise (2008)
  • Author(s): 大屋幸輔
  • Organizer: 2nd International Workshop on Computational and Financial Econometrics (CFE'08)
  • Place of Presentation: University of Neuchatel, Neuchatel, Switzerland
• [Presentation] Bias corrected realized volatility with dependent microstructure noise (2008)
  • Author(s): 大屋幸輔
  • Organizer: lnd International Workshop on Computationaland Financial Econometrics (CFE'08)
  • Place of Presentation: University of Neuchatel, Neuchatel, Switzerland
• [Presentation] Leverage, heavy-tails and correlated jumps in stochastic volatility models (2007)
  • Author(s): 中島( 上智大学)・大森裕浩
  • Organizer: International Workshop on Computational and Financial Econometrics
  • Place of Presentation: University of Geneva, Switzerland
• [Presentation] The conditional limited information maximum likelihood appro ach to dynamic panel structural equations (2007)
  • Author(s): N.Kuniotmo, K.Akashi
  • Organizer: 第22回ヨーロッパ経済連合会議及び第62回経済学会ヨーロッパ会議
  • Place of Presentation: 於Central European Univ. ( Budapest, Hungary)
• [Presentation] The conditional limited information maximum Iikelihood approach to dynamic panel structur'al equations (2007)
  • Author(s): N. Kuniotmo with K. Akashi(共著)
  • Organizer: 第22回ヨーロッパ経済連合会議及び第62回経済学会ヨーロッパ会議
  • Place of Presentation: Central European Univ.(Budapest,Hungary)
• [Presentation] Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise, (2007)
  • Author(s): Kosuke Oya
  • Organizer: International Workshop on Computational and Financial Econometrics.
  • Place of Presentation: University of Geneva, Switzerland.
• [Presentation] Leverage,hevy-tails and correlated jgmps in stochastic volatility models (2007)
  • Author(s): 中島(上智大学)・大森 裕浩(共著)
  • Organizer: International Workshop on Computational and Financial Econometrics
  • Place of Presentation: University of Geneva, Switzerland
• [Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously (2007)
  • Author(s): 高 橋慎・大森 裕浩・渡部 敏明
  • Organizer: 2007年度統計関連学会連合大会
  • Place of Presentation: 2007年度統計関連学会連合大会
• [Book] 計算統計学の方法ーブートストラップ、EM アルゴリズム、MCMC (2008)
  • Author(s): 小西貞則・越智義道・大森裕浩
  • Total Pages: 223
  • Publisher: 朝倉書店
• [Book] 21世紀の統計科学Vool.1 (2008)
  • Author(s): 国友直人(山本拓氏との共同監修)
  • Total Pages: 306
  • Publisher: 東京大学出版会
• [Book] 21世紀の統計科学Vol.2 (2008)
  • Author(s): 国友直人(山本拓氏との共同監修)
  • Total Pages: 358
  • Publisher: 東京大学出版会
• [Book] 21世紀の統計科学Vol.3 (2008)
  • Author(s): 国友直人(山本拓氏との共同監修)
  • Total Pages: 340
  • Publisher: 東京大学出版会
• [Book] 計算統計学の方法-ブートストラップ、EMアルゴリズム、MCMC (2008)
  • Author(s): 小西貞則・越智義道・大森裕浩
  • Total Pages: 223
  • Publisher: 朝倉書店
• [Book] 計算統計学の方法-ブートストラップ、EMアルゴリズム、MCMC (2008)
  • Author(s): 小西 貞則, 越智 義道, 大森 裕浩(3月刊行予定)
  • Publisher: 朝倉書店
• [Book] ミクロ計量経済の方法 : パネル分析の方法(C. Hsiao著) (2007)
  • Author(s): 国友直人
  • Total Pages: 380
  • Publisher: 東洋経済新報社
• [Book] ミクロ計量経済の方法:パネル分析の方法(C.Hsiao著) (2007)
  • Author(s): 国友 直人(翻訳)
  • Total Pages: 380
  • Publisher: 東洋経済新報社