Effects of infinite dimensional nuisance parameters on semiparametric estimators

• Project/Area Number: 19530182
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Kyoto Institute of Technology
• Principal Investigator: HITOMI Kohtaro Kyoto Institute of Technology, 工芸科学研究科, 准教授 (00283680)
• Project Period (FY): 2007 – 2010
• Project Status: Completed (Fiscal Year 2010)
• Budget Amount: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000); Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2009: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2008: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2007: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
• Keywords: 計量経済学 / セミパラ推定 / 無限次元母数 / 分散の逆転 / 経済統計学 / 統計数学 / パネルデータ / 修学行動 / 教育の経済学

Research Abstract

This paper considers a puzzling phenomenon that is observed in some semiparametric estimation problems. In some cases, using estimated values of the nuisance parameters provides a more efficient estimator for the parameters of interest than does using the true values. This phenomenon takes place even in cases of semi-nonparametric models in which the nuisance parameters are infinite dimensional and can not be estimated at the parametric rate. We examine the structure and present the necessary and sufficient condition for the occurrence of this puzzle. We also provide a simple sufficient condition. It shows that the puzzle occurs when the term accounting for the effect of estimation of nuisance parameters is included in the tangent space.

Research Products

• [Journal Article] A Puzzling Phenomenon in Semiparametric Estimation Problems with Infinite-Dimensional Nuisance Parameters (2008)
  • Author(s): K.Hitomi, Y.Nishiyama, Ryo Okui
  • Journal Title: Econometric Theory 24 Pages: 1717-1728
  • Peer Reviewed
• [Journal Article] Do Students Care about School Quality? Determinants of Dropout Behavior in Developing Countries (2008)
  • Author(s): Eric A.Hanushek, Victor Lavy, K.Hitomi
  • Journal Title: Journal of Human Capital vol.2, No.1 Pages: 69-105
  • Peer Reviewed
• [Journal Article] Efficient Estimation and Model Selection for Grouped Data with Local Moments (2008)
  • Author(s): K.Hitomi, Qing-Feng Liu, Yoshihiko Nishiyama, Naoya Sueishi
  • Journal Title: Journal of the Japan Statistical Society vol.38, No.1 Pages: 131-143
  • Peer Reviewed
• [Journal Article] Yoshihiko Nishiyama and Ryo Okui, "A Puzzling Phenomenon in Semiparametriac Estimation Problems with Infinite-Dimensional Nuisance Parameters" (2008)
  • Author(s): Kohtaro Hitomi
  • Journal Title: Econometric Theory vol. 24 Pages: 1717-1728
  • Peer Reviewed
• [Journal Article] Do student care about school quality? (2008)
  • Author(s): Eric A. Hanushek, Victor Lavy, Kohtaro Hitomi
  • Journal Title: Journal of human Capital vol. 2 Pages: 69-105
  • Peer Reviewed
• [Journal Article] Yoshihiko Nishiyama and Naoya Sueishi, "Efficient Estimation and Model Selecion for Grouped Data with Local Moments (2008)
  • Author(s): Kohtaro Hitomi, Qing-Feng Liu
  • Journal Title: Journal of the Japan Statistical Society vol. 38 No. 1 Pages: 131-143
  • Peer Reviewed
• [Journal Article] Do Students Care about School Quality? Determinants of Dropout Behavior in Developing Countries (2008)
  • Author(s): Eric A. Hanushek, V. Lavy, K. Hitomi
  • Journal Title: Journal of Human Capital Vol. 2, No. 1 Pages: 69-105
  • Peer Reviewed
• [Journal Article] Efficient Estimation and Model Selection for Grouped Data with Local Moments (2008)
  • Author(s): K. Hitomi, Q. F. Liu, Y. Nishiyama, N. Sueishi
  • Journal Title: Journal of the Japan Statistical Society Vol. 38, No. 1 Pages: 131-143
  • Peer Reviewed
• [Journal Article] Puzzling Phenomenon in Semiparametric Estimation Problems with Infinite-dimensional Nuisance Parameters (2008)
  • Author(s): K. Hitomi, Y. Nishiyama, R. Okui
  • Journal Title: Econometric Theory Vol. 24, No. 6 Pages: 1717-1728
  • Peer Reviewed
• [Journal Article] Do Students Care about School Quality? Determinants of Dropout Behavior in Developing Countries (2008)
  • Author(s): Eric A. Hanushek, Victor Lavy, and Kohtaro Hitomi
  • Journal Title: Journal of Human Capita1 1(2) Pages: 69-105
  • Peer Reviewed
• [Journal Article] A Consistent Nonparametric Test for Nonlinear Causality
  • Author(s): Y.Nishiyama, K.Hitomi, Y.Kawasaki, Kiho Jeong
  • Journal Title: Journal of Econometrics 印刷中
  • Peer Reviewed
• [Journal Article] A Consistent Non-parametric Test for Nonlinear Causality
  • Author(s): Nishiyama, Y., K.Hitomi, Y.Kawasaki, K.Jeong
  • Journal Title: Journal of Econometrics Volume: (印刷中)
  • Peer Reviewed
• [Presentation] A Nonparametric test for the existence of moments (2009)
  • Author(s): 人見光太郎, 西山慶彦, 永井圭二
  • Organizer: 2009年度日本統計学会春季大会発表論文
  • Place of Presentation: 統計数理研究所
  • Year and Date: 2009-03-06
• [Presentation] A Nonparametric test for existence of moments (2009)
  • Author(s): 人見光太郎
  • Organizer: 2009年度日本統計学会春季大会
  • Place of Presentation: 統計数理研究所
  • Year and Date: 2009-03-06
• [Presentation] 単位根と分岐過程のcriticalityの逐次検定 (2008)
  • Author(s): 永井圭二、人見光太郎、西山慶彦
  • Organizer: 2008年度日本統計学会春季大会発表論文
  • Place of Presentation: 成城大学
  • Year and Date: 2008-03-01
• [Presentation] 単位根と分岐過程のcriticalityの逐次検定 (2008)
  • Author(s): 人見光太郎
  • Organizer: 日本統計学会春季大会 2008
  • Place of Presentation: 成城大学
  • Year and Date: 2008-03-01