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Estimation and Inference of Regression Models in Which Two Data Sets Are Combined

Research Project

Project/Area Number 19K01595
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07030:Economic statistics-related
Research InstitutionRyukoku University

Principal Investigator

Hirukawa Masayuki  龍谷大学, 経済学部, 教授 (10597628)

Project Period (FY) 2019-04-01 – 2023-03-31
Project Status Completed (Fiscal Year 2022)
Budget Amount *help
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2022: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2021: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2020: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2019: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Keywords接合データの計量経済学 / 2標本回帰推定 / セミパラメトリック推定 / 非対称カーネル関数 / 最近傍法 / 生成された説明変数 / スパースモデリング / サンプルセレクションモデル / 2標本回帰推定 / サンプルセレクション モデル / 傾向スコア
Outline of Research at the Start

ミクロ実証分析においてモデル推定に必要な変数が単一のデータセットに揃っていない場合、二つのデータセットを組み合わせて当該モデルを推定する必要が生じる。Hirukawa and Prokhorov (2018, "HP18")では二つのデータセットを最近傍法により接合した上で一致性を確保するバイアス修正推定法を提案した。本研究では、HP18で得た知見を基に、①最近傍法によらない2標本回帰推定、②データ接合の際の次元縮小、③分析対象とするモデルの拡張、など2標本推定問題の多方面にわたる深化・発展に取り組む。同時に、標準的な統計パッケージ上でコマンドを開発し、実務家への浸透・利便も図る。

Outline of Final Research Achievements

Suppose that we are interested in estimating linear regression models using microeconomic datasets. Often a single dataset does not contain all variables required for the estimation. In this case, we are tempted to estimate the regression models by combining the primary dataset at hand with an auxiliary one, if any, that includes missing variables. This research project has aimed at extending and developing two-sample regression estimation methods studied by the principal investigator, with emphases on (i) exploring an estimation method that does not rely on the nearest neighbor method and (ii) circumventing the curse of dimensionality in data combination. At the same time, commands for these new methods executed in a standard statistical package have been developed and made public, for the benefit of practitioners.

Academic Significance and Societal Importance of the Research Achievements

2標本の接合を前提とする線形回帰モデル推定に関してより効率性の高い推定法を提案し、その大標本・小標本特性を探求した。また、2標本推定は「生成された説明変数」を用いた推定法の特殊ケースである。高次元データから説明変数を生成する際の次元の呪いを回避する策の一つとして、スパースモデリングの発想を取り入れて説明変数を生成する手法を開発した。加えて、これら推定手法を標準的な統計ソフト上で実装するためのコマンドも開発・公開した。さらに、本研究の副産物として、ある非対称カーネル関数を用いたノンパラメトリック推定量の一様収束及びその収束速度を証明・導出し、非対称カーネル関数の利用可能性を拡大した。

Report

(5 results)
  • 2022 Annual Research Report   Final Research Report ( PDF )
  • 2021 Research-status Report
  • 2020 Research-status Report
  • 2019 Research-status Report
  • Research Products

    (28 results)

All 2023 2022 2021 2020 2019 Other

All Int'l Joint Research (12 results) Journal Article (5 results) (of which Int'l Joint Research: 4 results,  Peer Reviewed: 5 results,  Open Access: 1 results) Presentation (9 results) (of which Int'l Joint Research: 6 results,  Invited: 8 results) Remarks (2 results)

  • [Int'l Joint Research] University of Sydney(オーストラリア)

    • Related Report
      2022 Annual Research Report
  • [Int'l Joint Research] Drexel University/Stata Corp.(米国)

    • Related Report
      2022 Annual Research Report
  • [Int'l Joint Research] TH Koln(ドイツ)

    • Related Report
      2022 Annual Research Report
  • [Int'l Joint Research] University of Sydney(オーストリア)

    • Related Report
      2021 Research-status Report
  • [Int'l Joint Research] Drexel University/Stata Corp.(米国)

    • Related Report
      2021 Research-status Report
  • [Int'l Joint Research] TH Koln(ドイツ)

    • Related Report
      2021 Research-status Report
  • [Int'l Joint Research] University of Sydney(オーストラリア)

    • Related Report
      2020 Research-status Report
  • [Int'l Joint Research] Drexel University/Stata Corp.(米国)

    • Related Report
      2020 Research-status Report
  • [Int'l Joint Research] Artem Prokhorov/University of Sydney(オーストラリア)

    • Related Report
      2019 Research-status Report
  • [Int'l Joint Research] Irina Murtazashvili/Drexel University(米国)

    • Related Report
      2019 Research-status Report
  • [Int'l Joint Research] Di Liu/Stata Corp.(米国)

    • Related Report
      2019 Research-status Report
  • [Int'l Joint Research] Benedikt Funke/Technical University of Dortmund(ドイツ)

    • Related Report
      2019 Research-status Report
  • [Journal Article] Yet Another Look at the Omitted Variable Bias2023

    • Author(s)
      Masayuki Hirukawa, Irina Murtazashvili, Artem Prokhorov
    • Journal Title

      Econometric Reviews

      Volume: 42 Issue: 1 Pages: 1-27

    • DOI

      10.1080/07474938.2022.2157965

    • Related Report
      2022 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] DS-HECK: Double-Lasso Estimation of Heckman Selection Model2023

    • Author(s)
      Masayuki Hirukawa, Di Liu, Irina Murtazashvili, Artem Prokhorov
    • Journal Title

      Empirical Economics

      Volume: - Issue: 6 Pages: 3167-3195

    • DOI

      10.1007/s00181-023-02406-w

    • Related Report
      2022 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Uniform Convergence Rates for Nonparametric Estimators Smoothed by the Beta Kernel2022

    • Author(s)
      Masayuki Hirukawa, Irina Murtazashvili, Artem Prokhorov
    • Journal Title

      Scandinavian Journal of Statistics

      Volume: 49 Issue: 3 Pages: 1353-1382

    • DOI

      10.1111/sjos.12573

    • Related Report
      2022 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Robust Covariance Matrix Estimation in Time Series: A Review2022

    • Author(s)
      Masayuki Hirukawa
    • Journal Title

      Econometrics and Statistics

      Volume: - Pages: 36-61

    • DOI

      10.1016/j.ecosta.2021.12.001

    • Related Report
      2022 Annual Research Report
    • Peer Reviewed
  • [Journal Article] msreg: A Stata Command for Consistent Estimation of Linear Regression Models Using Matched Data2021

    • Author(s)
      Masayuki Hirukawa, Di Liu, Artem Prokhorov
    • Journal Title

      Stata Journal

      Volume: 21 Issue: 1 Pages: 123-140

    • DOI

      10.1177/1536867x211000008

    • Related Report
      2020 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Presentation] Nonparametric Threshold Detection for Cost Distributions2023

    • Author(s)
      蛭川雅之
    • Organizer
      第30回関西計量経済学研究会
    • Related Report
      2022 Annual Research Report
    • Invited
  • [Presentation] Nonparametric Threshold Detection for Cost Distributions2023

    • Author(s)
      蛭川雅之
    • Organizer
      研究集会「第23回ノンパラメトリック統計解析とベイズ統計」
    • Related Report
      2022 Annual Research Report
    • Invited
  • [Presentation] Robust Covariance Matrix Estimation in Time Series: A Review2021

    • Author(s)
      Masayuki Hirukawa
    • Organizer
      41st International Symposium on Forecasting (ISF 2021)
    • Related Report
      2021 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Yet Another Look at the Omitted Variable Bias2021

    • Author(s)
      Masayuki Hirukawa
    • Organizer
      1st International Conference on Econometrics and Business Analytics (iCEBA 2021)
    • Related Report
      2021 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Double-Selection Lasso Estimation of Heckman's Sample Selection Model2020

    • Author(s)
      Masayuki Hirukawa
    • Organizer
      14th International Conference on Computational and Financial Econometrics (CFE 2020)
    • Related Report
      2020 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Yet Another Look at the Omitted Variable Bias2019

    • Author(s)
      Masayuki Hirukawa
    • Organizer
      15th International Symposium on Econometric Theory and Applications (SETA 2019)
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] Bias Correction for Local Linear Regression Estimation Using Asymmetric Kernels via the Skewing Method2019

    • Author(s)
      Masayuki Hirukawa
    • Organizer
      3rd International Conference on Econometrics and Statistics (EcoSta 2019)
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Yet Another Look at the Omitted Variable Bias2019

    • Author(s)
      Masayuki Hirukawa
    • Organizer
      データサイエンス・サマーキャンプ福島
    • Related Report
      2019 Research-status Report
    • Invited
  • [Presentation] GMM Estimation Using Time-Series Data with Missing Observations2019

    • Author(s)
      Masayuki Hirukawa
    • Organizer
      13th International Conference on Computational and Financial Econometrics (CFE 2019)
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research / Invited
  • [Remarks] Masayuki Hirukawa - Home

    • URL

      https://www.econ.ryukoku.ac.jp/~hirukawa/

    • Related Report
      2022 Annual Research Report 2021 Research-status Report 2020 Research-status Report
  • [Remarks] Masayuki Hirukawa - Home

    • URL

      http://www.econ.ryukoku.ac.jp/~hirukawa/

    • Related Report
      2019 Research-status Report

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Published: 2019-04-18   Modified: 2024-01-30  

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