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Research on quantile regression for panel data

Research Project

Project/Area Number 22730179
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Economic statistics
Research InstitutionHiroshima University

Principal Investigator

KATO Kengo  広島大学, 大学院・理学研究科, 助教 (50549780)

Project Period (FY) 2010 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2010: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Keywords分位点回帰 / 計量経済学 / 計量経済
Research Abstract

In this project, I analyzed the fixed effects quantile regression model and established the asymptotic properties for two estimators of the coefficient vector , namely, the estimator minimizing the check loss function used conventionally in the quantile regression literature and the one minimizing the smoothed version of the check function. Moreover, I considered the situation where the dependent variable is s calar and the covariate is a random function, focused on the functional linear quantile regression model, and established the sharp asymptotic properties for the PCA-based estimator on the slope function and related parameters.

Report

(4 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • Research Products

    (44 results)

All 2013 2012 2011 2010 Other

All Journal Article (15 results) (of which Peer Reviewed: 15 results) Presentation (27 results) (of which Invited: 2 results) Remarks (2 results)

  • [Journal Article] Estimation in functional linear quantile regression, Annals of Statistics2012

    • Author(s)
      Kato, K
    • Journal Title

      Annals of Statistics

      Volume: Vol. 40 Pages: 3108-3136

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics for panel quantile regression models with individual effects2012

    • Author(s)
      Kato, K., Galvao, A., Montes-Rojas, G
    • Journal Title

      Journal of Econometrics

      Volume: Vol. 170 Pages: 76-91

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Weighted Nadaraya-Watson estimation of conditional expected shortfall2012

    • Author(s)
      Kato, K
    • Journal Title

      Journal of Financial Econometrics

      Volume: Vol. 10 Pages: 265-291

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotic normality of Powell's kernel estimator2012

    • Author(s)
      Kato, K
    • Journal Title

      Annals of the Institute of Statistical Mathematics

      Volume: Vol. 64 Pages: 255-273

    • NAID

      40019168731

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Weighted Nadaraya-Watson estimation of conditional expected shortfall2012

    • Author(s)
      Kengo Kato
    • Journal Title

      Journal of Financial Econometrics

      Volume: 10 Issue: 2 Pages: 265-291

    • DOI

      10.1093/jjfinec/nbs002

    • Related Report
      2012 Annual Research Report 2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotic normality of Powell’s kernel estimator2012

    • Author(s)
      Kengo Kato
    • Journal Title

      Annals of the Institute of Statistical Mathematics

      Volume: 64 Issue: 2 Pages: 255-273

    • DOI

      10.1007/s10463-010-0310-9

    • NAID

      40019168731

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics for panel quantile regression models with individual effects2012

    • Author(s)
      Kengo Kato, Antonio Galvao, Gabriel Montes-Rojas
    • Journal Title

      Journal of Econometrics

      Volume: 170 Issue: 1 Pages: 76-91

    • DOI

      10.1016/j.jeconom.2012.02.007

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Estimation in functional linear quantile regression2012

    • Author(s)
      Kengo Kato
    • Journal Title

      Annals of Statistics

      Volume: 40 Issue: 6 Pages: 3108-3136

    • DOI

      10.1214/12-aos1066

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotic normality of Powell's kernel estimator2012

    • Author(s)
      Kengo Kato
    • Journal Title

      Annals of the Institute of Statistical Mathematics

      Volume: 64 Pages: 255-273

    • NAID

      40019168731

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics for panel quantile regression models with individual effects2012

    • Author(s)
      Kengo Kato, Antonio F.Galvao, Jr., Gabriel V, Montes-Rojas
    • Journal Title

      Journal of Econometrics

      Volume: (掲載決定)

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A note on moment convergence of bootstrap M-estimators2011

    • Author(s)
      Kato, K
    • Journal Title

      Statistics and Decisions

      Volume: Vol. 28 Pages: 51-61

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] A note on moment convergence of bootstrap M-estimators2011

    • Author(s)
      Kengo Kato
    • Journal Title

      Statistics and Decisions

      Volume: 28 Pages: 51-61

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotic normality of Powell's kernel estimator2011

    • Author(s)
      Kengo Kato
    • Journal Title

      Annals of the Institute of Statistical Mathematics

      Volume: (掲載決定)

    • NAID

      40019168731

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Solving l_1 regularization problems with piecewise linear losses2010

    • Author(s)
      Kato, K
    • Journal Title

      Journal of Computational and Graphical Statistics

      Volume: Vol. 19 Pages: 1024-1040

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Solving $¥ell_{1}$ regularization problems with piecewise linear losses2010

    • Author(s)
      Kengo Kato
    • Journal Title

      Journal of Computational and Graphical Statistics

      Volume: 19 Pages: 1024-1040

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Presentation] Estimation and inference for panel data models under misspecification when both n and T are large2013

    • Author(s)
      加藤賢悟
    • Organizer
      第7回日本統計学会春季集会
    • Place of Presentation
      東京都
    • Year and Date
      2013-03-03
    • Related Report
      2012 Final Research Report
  • [Presentation] Estimation and inference for panel data models under misspecification when both n and T are large2013

    • Author(s)
      加藤賢悟
    • Organizer
      第7回日本統計学会春季集会
    • Place of Presentation
      東京
    • Related Report
      2012 Annual Research Report
  • [Presentation] 高次元統計モデルの解析に関するいくつかの話題2012

    • Author(s)
      加藤賢悟
    • Organizer
      日本数学会年会
    • Place of Presentation
      東京都
    • Year and Date
      2012-03-28
    • Related Report
      2011 Annual Research Report
  • [Presentation] Estimation in functional linear quantile regression2012

    • Author(s)
      Kengo Kato
    • Organizer
      University of Wisconsin-Milwaukee Seminars in Economics
    • Place of Presentation
      米国・ミルウォーキー(招待講演)
    • Year and Date
      2012-01-27
    • Related Report
      2011 Annual Research Report
  • [Presentation] Estimation in functional linear quantile regression2012

    • Author(s)
      加藤賢悟
    • Organizer
      2012 年度統計関連学会連合大会
    • Place of Presentation
      札幌市
    • Related Report
      2012 Final Research Report
  • [Presentation] Estimation in functional linear quantile regression2012

    • Author(s)
      Kengo Kato
    • Organizer
      2012 Joint Statistical Meeting
    • Place of Presentation
      米国・サンディエゴ
    • Related Report
      2012 Final Research Report
  • [Presentation] 高次元統計モデルの解析に関するいくつかの話題2012

    • Author(s)
      加藤賢悟
    • Organizer
      2012 年日本数学会年会
    • Place of Presentation
      東京都
    • Related Report
      2012 Final Research Report
  • [Presentation] Quasi-Bayesian analysis of nonparametric instrumental variables models2012

    • Author(s)
      Kengo Kato
    • Organizer
      Department Seminar, Seoul National University, Department of Economics
    • Place of Presentation
      韓国・ソウル
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Estimation in functional linear quantile regression2012

    • Author(s)
      Kengo Kato
    • Organizer
      Joint Statistical Meeting 2012
    • Place of Presentation
      米国・サンディエゴ
    • Related Report
      2012 Annual Research Report
  • [Presentation] Estimation in functional linear quantile regression2012

    • Author(s)
      加藤賢悟
    • Organizer
      2012年度統計関連学会連合大会
    • Place of Presentation
      札幌市
    • Related Report
      2012 Annual Research Report
  • [Presentation] Estimation in functional linear quantile regression2012

    • Author(s)
      Kengo Kato
    • Organizer
      Department Seminar, National University of Singapore, Department of Economics
    • Place of Presentation
      シンガポール
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Estimation in functional linear quantile regression2011

    • Author(s)
      加藤賢悟
    • Organizer
      東京大学大学院経済学研究科応用統計ワークショップ
    • Place of Presentation
      東京都(招待講演)
    • Year and Date
      2011-12-26
    • Related Report
      2011 Annual Research Report
  • [Presentation] Weighted Nadaraya-Watson estimation of conditional expected shortfall2011

    • Author(s)
      Kengo Kato
    • Organizer
      5^<th> CSDA International Conference on Computational and Financial Econometrics
    • Place of Presentation
      英国・ロンドン
    • Year and Date
      2011-12-09
    • Related Report
      2011 Annual Research Report
  • [Presentation] Smoothed quantile regression for panel data2011

    • Author(s)
      Kengo Kato
    • Organizer
      Harvard-MIT Econometrics Seminar
    • Place of Presentation
      米国・ボストン(ケンブリッジ)(招待講演)
    • Year and Date
      2011-09-22
    • Related Report
      2011 Annual Research Report
  • [Presentation] Two-step estimation of high dimensional additive models2011

    • Author(s)
      Kengo Kato
    • Organizer
      Boston College Econometrics Lunch Seminar
    • Place of Presentation
      米国・ボストン(招待講演)
    • Year and Date
      2011-09-09
    • Related Report
      2011 Annual Research Report
  • [Presentation] Group Lasso for high dimensional sparse quantile regression models2011

    • Author(s)
      Kengo Kato
    • Organizer
      Joint Statistical Meeting
    • Place of Presentation
      米国・マイアミ
    • Year and Date
      2011-07-31
    • Related Report
      2011 Annual Research Report
  • [Presentation] Group Lasso for high dimensional sparse quantile regression models2011

    • Author(s)
      Kengo Kato
    • Organizer
      University of Iowa Tow Economics Seminar
    • Place of Presentation
      米国・アイオワシティー(招待講演)
    • Year and Date
      2011-04-27
    • Related Report
      2011 Annual Research Report
  • [Presentation] Group Lasso for high dimensional sparse quantile regression models2011

    • Author(s)
      Kengo Kato
    • Organizer
      Boston University Econometrics Seminar
    • Place of Presentation
      米国・ボストン(招待講演)
    • Year and Date
      2011-04-08
    • Related Report
      2011 Annual Research Report
  • [Presentation] Group Lasso for high-dimensional sparse quantile regression models2011

    • Author(s)
      Kengo Kato
    • Organizer
      2011 Joint Statistical Meeting
    • Place of Presentation
      米国・マイアミ
    • Related Report
      2012 Final Research Report
  • [Presentation] パネルデータに対する分位点回帰法2010

    • Author(s)
      加藤賢悟
    • Organizer
      2010年度統計関連学会連合大会
    • Place of Presentation
      東京都
    • Year and Date
      2010-09-07
    • Related Report
      2010 Annual Research Report
  • [Presentation] Asymptotics and bootstrap inference for panel quantile regression models with fixed effects2010

    • Author(s)
      Kengo Kato
    • Organizer
      10^<th> World Congress of the Econometric Society
    • Place of Presentation
      中国・上海
    • Year and Date
      2010-08-19
    • Related Report
      2010 Annual Research Report
  • [Presentation] パネルデータに対する分位点回帰2010

    • Author(s)
      加藤賢悟
    • Organizer
      九州大学数理学研究院統計科学セミナー
    • Place of Presentation
      福岡市(招待講演)
    • Year and Date
      2010-07-09
    • Related Report
      2010 Annual Research Report
  • [Presentation] Smoothed quantile regression for panel data2010

    • Author(s)
      Kengo Kato
    • Organizer
      16^<th> International Conference on Panel Data
    • Place of Presentation
      オランダ・アムステルダム
    • Year and Date
      2010-07-03
    • Related Report
      2010 Annual Research Report
  • [Presentation] パネルデータに対する分位点回帰2010

    • Author(s)
      加藤賢悟
    • Organizer
      京都大学経済研究所計量経済学セミナー
    • Place of Presentation
      京都市(招待講演)
    • Year and Date
      2010-06-15
    • Related Report
      2010 Annual Research Report
  • [Presentation] パネルデータに対する分位点回帰法2010

    • Author(s)
      加藤賢悟
    • Organizer
      2010 年度統計関連学会連合大会
    • Place of Presentation
      東京都
    • Related Report
      2012 Final Research Report
  • [Presentation] Asymptotics and bootstrap inference for panel quantile regression models with fixed effects2010

    • Author(s)
      Kengo Kato
    • Organizer
      10th World Congress of the Econometric Society
    • Place of Presentation
      中国・上海
    • Related Report
      2012 Final Research Report
  • [Presentation] Smoothed quantile regression for panel data2010

    • Author(s)
      Kengo Kato
    • Organizer
      16thInternational Conference on Panel Data
    • Place of Presentation
      オランダ・アムステルダム
    • Related Report
      2012 Final Research Report
  • [Remarks]

    • URL

      https://sites.google.com/site/kkatostat/home

    • Related Report
      2012 Final Research Report
  • [Remarks] いくつかの未公刊論文については、下記URLより入手可能である

    • URL

      http://home.hiroshima-u.ac.jp/kkato/

    • Related Report
      2011 Annual Research Report

URL: 

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

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