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Nonparametric/semiparametric statistical analysis of microeconometric models

Research Project

Project/Area Number 22330067
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) HITOMI Kohtaro  京都工芸繊維大学, 工芸科学研究科, 教授 (00283680)
NAGAI Keiji  横浜国立大学, 経済学部, 教授 (50311866)
IDA Takanori  京都大学, 経済学研究科, 教授 (60278794)
OKUI Ryo  京都大学, 経済研究所, 准教授 (20563480)
Project Period (FY) 2010-04-01 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
Budget Amount *help
¥19,500,000 (Direct Cost: ¥15,000,000、Indirect Cost: ¥4,500,000)
Fiscal Year 2014: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2013: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2012: ¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2011: ¥3,120,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥720,000)
Fiscal Year 2010: ¥5,200,000 (Direct Cost: ¥4,000,000、Indirect Cost: ¥1,200,000)
Keywordsノンパラメトリック法 / パネルデータ / 経済実証 / 計量経済分析 / ランダムパラメーターロジット・モデル / コンジョイント分析 / 表明選好分析 / 動学パネル / 個人の異質性 / ノンパラメトリック / 経済統計学 / 特定化検定 / 生産性 / DID / 輸送コスト / 構想推定 / 構造モデル / セミパラメトリック法 / 独占 / マークアップ / 操作変数 / 漸近有効性 / 因果性 / モーメント条件 / model averaging
Outline of Final Research Achievements

We have worked on statistical analysis for microeconometric models. Our main concern was two fold. The first is specification test of functional form of regression or IV regression. The second is model-free analysis of panel data which is robust against model misspecification. We also conducted empirical studies of some accademically and politically important issues such as smoking behavior, energy demand, next generation motor cars and productivity.

Report

(6 results)
  • 2014 Annual Research Report   Final Research Report ( PDF )
  • 2013 Annual Research Report
  • 2012 Annual Research Report
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • Research Products

    (46 results)

All 2015 2014 2013 2012 2011 2010 Other

All Journal Article (23 results) (of which Peer Reviewed: 22 results,  Acknowledgement Compliant: 5 results) Presentation (23 results) (of which Invited: 5 results)

  • [Journal Article] Analysis of Time-invariant Institutional and Cultural Determinants of Income: Evidence from a Random Coefficients Stochastic Frontier Model2015

    • Author(s)
      Pilar Baquero Forero, M.d., T. Kuroda, and T. Ida
    • Journal Title

      Review of Development Economics

      Volume: 印刷中

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [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
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Quasi-Hyperbolic Discounting Approach To Smoking Behavior2014

    • Author(s)
      Ida, T.
    • Journal Title

      Health Economics Review

      Volume: 4.5 Pages: 1-11

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] A Stated Preference Analysis of Smart Meters, Photovoltaic Generation, and Electric Vehicles in Japan: Implications for Penetration and GHG Reduction2014

    • Author(s)
      Ida, T., K. Murakami, and M. Tanaka
    • Journal Title

      Energy Research & Social Science

      Volume: 2 Pages: 75-89

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Consumers' Willingness To Pay for Alternative Fuel Vehicles: A Comparative Analysis between US and Japan2014

    • Author(s)
      Tanaka, T., T. Ida. K. Murakami, and L. Friedman
    • Journal Title

      Transportation Research

      Volume: 70 Pages: 194-209

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Inner Conflict between Nuclear Power Generation and Electricity Rates: A Japanese Case Study2014

    • Author(s)
      Ida, T., K. Takemura, and M, Sato
    • Journal Title

      Energy Economics

      Volume: 48 Pages: 61-69

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Measuring the Value of Time in Freight Transportation2014

    • Author(s)
      Konishi, Y, S.Mun, Y. Nishiyama and J.E.Sung
    • Journal Title

      RIETI discussion paper series

      Volume: 14-E-004 Pages: 1-41

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Volatility forecast of stock indexes by model averaging using high-frequency data2014

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

      International Review of Economics & Finance

      Volume: 印刷中

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Effects of Large-Scale Research Funding Programs: A Japanese Case Study2013

    • Author(s)
      Ida, T. and N. Fukuzawa
    • Journal Title

      Scientometrics

      Volume: 94 Issue: 3 Pages: 1253-1273

    • DOI

      10.1007/s11192-012-0841-3

    • NAID

      120005242582

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Voluntary Electricity Conservation of Households after the Great East Japan Earthquake: A Stated Preference Analysis2013

    • Author(s)
      Tanaka, M. and T. Ida
    • Journal Title

      Energy Economics

      Volume: 39 Pages: 296-304

    • DOI

      10.1016/j.eneco.2013.05.011

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Qualitative Evaluation of Contingent Capital and its Applications2013

    • Author(s)
      Gupta, A., Akuzawa, T. and Y. Nishiyama
    • Journal Title

      North American Journal of Economics and Finance

      Volume: 26 Pages: 457-486

    • DOI

      10.1016/j.najef.2013.02.016

    • Related Report
      2013 Annual Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Note on the Identification of Demand and Supply Shocks in Production: Decomposition of TFP2013

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

      RIETI Discussion paper series

      Volume: 13-E-099 Pages: 1-23

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options2013

    • Author(s)
      Akuzawa, T. and Y. Nishiyama
    • Journal Title

      North American Journal of Economics and Finance

      Volume: 25 Pages: 335-357

    • DOI

      10.1016/j.najef.2012.06.006

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Beyond Mobile Number Portability : Measuring Consumer Preferences for Service Portability in Japan's Mobile Phone Market2012

    • Author(s)
      Ida, T.
    • Journal Title

      Applied Economics

      Volume: 44 Pages: 3357-3369

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Measuring the Inequality Aversion Rate, the Social Discount Rate, and the Time Discount Rate Using a Hypothetical Dictator Game2012

    • Author(s)
      Ida, T., K.Ogawa
    • Journal Title

      International Journal of Social Economics

      Volume: 40 Pages: 314-329

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Hahn-Hausman test as a specification test2012

    • Author(s)
      Yoonseok Lee, Ryo Okui
    • Journal Title

      Journal of Econometrics

      Volume: 167 Issue: 1 Pages: 133-139

    • DOI

      10.1016/j.jeconom.2011.10.005

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimum Pricing Strategy for Fixed-line Internet and Mobile Phone Services : A Two-sided Market Approach2011

    • Author(s)
      Ida, T., T.Kuroda
    • Journal Title

      Empirical Economics Letters

      Volume: 11 Pages: 1-6

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Nonparametric Test for Nonlinear Causality2011

    • Author(s)
      Nishiyama, Y., K.Hitomi, Y.Kawasaki, K.Jeong
    • Journal Title

      Journal of Econometrics

      Volume: 165 Pages: 112-127

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Anomaly, Impulsivity, and Addiction2010

    • Author(s)
      Ida, T.
    • Journal Title

      Journal of Socio-Economics

      Volume: 39.2 Pages: 194-203

    • NAID

      120002141659

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Coevolution of Product Quality and Consumer Preferences2010

    • Author(s)
      Ida, T.
    • Journal Title

      Journal of Bioeconomics

      Volume: 12.2 Pages: 101-117

    • NAID

      120000899166

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Quality-Adjusted Prices of Japanese Mobile Phone Handsets and Carriers' Strategies2010

    • Author(s)
      Watanabe, N., R.Nakajima, T.Ida
    • Journal Title

      Review of Industrial Organization

      Volume: 36.4 Pages: 391-412

    • NAID

      120007137951

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Consistent Nonparametric Test for Nonlinear Causality

    • Author(s)
      Y.Nishiyama, K.Hitomi, Y.Kawasaki, K.Jeong
    • Journal Title

      Journal of Econometrics

      Volume: (掲載確定)

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Moment Restriction-based Econometric Methods : An Overview

    • Author(s)
      Kunitomo. N, M.McAleer, Y.Nishiyama
    • Journal Title

      Journal of Econometrics

      Volume: (掲載確定)

    • NAID

      120003437139

    • Related Report
      2010 Annual Research Report
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogenous2014

    • Author(s)
      R.Okui
    • Organizer
      Hitotsubashi-Sogang conference on Econometrics
    • Place of Presentation
      西江大学, 韓国
    • Year and Date
      2014-12-13
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogenous2014

    • Author(s)
      R.Okui
    • Organizer
      Summer Workshop on Economic Theory
    • Place of Presentation
      小樽商科大学
    • Year and Date
      2014-08-08
    • Related Report
      2014 Annual Research Report
  • [Presentation] A sequential unit root test2014

    • Author(s)
      Y.Nishiyama
    • Organizer
      SNU seminar
    • Place of Presentation
      Seoul National University
    • Year and Date
      2014-06-19
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogenous2014

    • Author(s)
      R.Okui
    • Organizer
      Mini-conference in Microeconometrics
    • Place of Presentation
      箱根
    • Year and Date
      2014-05-28
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogenous2014

    • Author(s)
      R.Okui
    • Organizer
      IAS Workshop on Advances in Microeconometrics
    • Place of Presentation
      香港科技大学
    • Year and Date
      2014-05-24
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] A simple uniformly consistent specification test for regression function2014

    • Author(s)
      Y.Nishiyama
    • Organizer
      Econometrics Seminar
    • Place of Presentation
      National University of Singapore
    • Year and Date
      2014-04-15
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] A simple uniformly consistent test for regression specification2014

    • Author(s)
      Y.Nishiyama
    • Organizer
      AEI-five joint workshop
    • Place of Presentation
      ウェスティン都ホテル(京都市)
    • Related Report
      2013 Annual Research Report
  • [Presentation] A simple uniformly consistent test for regression specification2014

    • Author(s)
      Y.Nishiyama
    • Organizer
      AEI-five joint workshop
    • Place of Presentation
      ウェスティン都ホテル京都
    • Related Report
      2012 Annual Research Report
  • [Presentation] A NEW APPROACH TO GOODNESS OF FIT FOR ERGODIC MARKOV PROCESSES2013

    • Author(s)
      Y.Nishiyama
    • Organizer
      Japan-Swiss symposium
    • Place of Presentation
      ETH, Zurich(Switzerland)
    • Related Report
      2013 Annual Research Report 2012 Annual Research Report
  • [Presentation] Sequential Unit Root Tests2012

    • Author(s)
      永井圭二
    • Organizer
      応用統計ワークショップ
    • Place of Presentation
      東京大学
    • Year and Date
      2012-01-20
    • Related Report
      2011 Annual Research Report
  • [Presentation] Sequential Unit Root Tests2012

    • Author(s)
      K.Nagai
    • Organizer
      The Chinese University of Hong Kong Statistics Seminar
    • Place of Presentation
      The Chinese University of Hong Kong
    • Year and Date
      2012-01-12
    • Related Report
      2011 Annual Research Report
  • [Presentation] A goodness of fit test for ergodic Markov processes2011

    • Author(s)
      Yoshihiko Nishiyama
    • Organizer
      Statistical Analysis and Related Topics : Theory, Methodology and Data Analysis
    • Place of Presentation
      東京大学数理科学研究科
    • Year and Date
      2011-12-16
    • Related Report
      2011 Annual Research Report
  • [Presentation] A goodness of fit test for ergodic Markov processes2011

    • Author(s)
      Yoshihiko Nishiyama
    • Organizer
      金融工学・数理計量ファイナンスの諸問題
    • Place of Presentation
      大阪大学中之島センター
    • Year and Date
      2011-12-02
    • Related Report
      2011 Annual Research Report
  • [Presentation] Sequential Test for Nearly Nonstationary AE(p) Processes2011

    • Author(s)
      K.Nagai
    • Organizer
      Recent Development in Statistics, Empirical Finance and Econometrics
    • Place of Presentation
      Rakuyu-Kaikan, Kyoto University
    • Year and Date
      2011-11-30
    • Related Report
      2011 Annual Research Report
  • [Presentation] Asymptotic Efficiency in Dynamic Panel Data Models When Both N and T are Large2011

    • Author(s)
      Ryo Okui
    • Organizer
      国際研究集会「数理統計学と金融・計量経済学の理論と応用」
    • Place of Presentation
      京都大学,楽友会館
    • Year and Date
      2011-11-30
    • Related Report
      2011 Annual Research Report
  • [Presentation] A goodness of fit test for ergodic Markov processes2011

    • Author(s)
      Yoshihiko Nishiyama
    • Organizer
      Empirical Micro research seminar
    • Place of Presentation
      東京大学経済学研究科
    • Year and Date
      2011-11-07
    • Related Report
      2011 Annual Research Report
  • [Presentation] Efficienct estimation of autocovariances for panel data with individual effects under cross section and time series asymptotics2011

    • Author(s)
      Ryo Okui
    • Organizer
      Asian meeting of the econometric society
    • Place of Presentation
      Seoul, Korea
    • Year and Date
      2011-08-11
    • Related Report
      2011 Annual Research Report
  • [Presentation] 操作変数が多い場合の推定2011

    • Author(s)
      奥井亮
    • Organizer
      日本統計学会春季集会
    • Place of Presentation
      立教大学
    • Year and Date
      2011-03-06
    • Related Report
      2010 Annual Research Report
  • [Presentation] Model Averaging without Non-negative constraints2010

    • Author(s)
      奥井亮
    • Organizer
      第13回情報論的学習理論ワークショップ(IBIS2010)
    • Place of Presentation
      東京大学
    • Year and Date
      2010-11-06
    • Related Report
      2010 Annual Research Report
  • [Presentation] Multiplicative Intensity Model Depending on Calendar time2010

    • Author(s)
      Nagai, K.
    • Organizer
      The International Symposium on Statistical Analysis of Spatio-Temporal Data
    • Place of Presentation
      The Chambers of Commerce and Industry of Kamakura City
    • Year and Date
      2010-11-05
    • Related Report
      2010 Annual Research Report
  • [Presentation] The Binarized Scoring Rule of Belief Elicitation2010

    • Author(s)
      奥井亮
    • Organizer
      日本経済学会春季大会
    • Place of Presentation
      千葉大学
    • Year and Date
      2010-06-06
    • Related Report
      2010 Annual Research Report
  • [Presentation] Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes

    • Author(s)
      R.Okui
    • Organizer
      SSK international Workshop
    • Place of Presentation
      ウェスティン都ホテル(京都市)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes

    • Author(s)
      R.Okui
    • Organizer
      SSK international Workshop
    • Place of Presentation
      ウェスティン都ホテル京都
    • Related Report
      2012 Annual Research Report

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Published: 2010-08-23   Modified: 2019-07-29  

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