Focused information criterion for semiparametric models

• Project/Area Number: 23730215
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic statistics
• Research Institution: Kyoto University
• Principal Investigator: SUEISHI Naoya 京都大学, 経済学研究科(研究院), 講師 (40596251)
• Project Period (FY): 2011 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000); Fiscal Year 2012: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2011: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
• Keywords: 集中情報量規準 / モデル選択 / モデルアベレージング / 経験尤度法 / モデル・アベレージング / 経験尤度

Research Abstract

The goal of model selection is to select a “best” model in a data-driven way. However, the best model generally differs for different intended use of the model. This study develops an empirical likelihood-based model selection method for moment restriction models that is designed to obtain a good estimate for a specific parameter of interest. This study also investigates a model averaging method for moment restriction models that minimizes the mean squared error of the estimator.

Research Products

• [Journal Article] Identification problem of the exponential tilting estimator under misspecification (2013)
  • Author(s): Naoya Sueishi
  • Journal Title: Economics Letters Volume: 118 Issue: 3 Pages: 509-511
  • DOI: 10.1016/j.econlet.2012.12.024
  • NAID: 120005242566
  • URL: http://repository.kulib.kyoto-u.ac.jp/dspace/handle/2433/171235
  • Peer Reviewed
• [Journal Article] 中級計量経済学 (2013)
  • Author(s): 末石直也
  • Journal Title: 経済セミナー Volume: 671 Pages: 71-81
• [Presentation] Variable and Order Selection Criterion for Series Estimation in Partially Linear Models (2013)
  • Author(s): 末石直也, 吉村有博(発表者)
  • Organizer: 日本統計学会春季大会
  • Place of Presentation: 学習院大学
  • Year and Date: 2013-03-03
• [Presentation] A New Interpretation of Empirical Likelihood for Time Series Models and Its Application to Model Selection Testing (2012)
  • Author(s): 末石直也
  • Organizer: Hitotsubashi-Sogang Conference on Econometrics
  • Place of Presentation: Sogang University (韓国)
  • Year and Date: 2012-11-07
• [Presentation] Model Selection Criterion for Infinite Dimensional Instrumental Variable Models (2012)
  • Author(s): 末石直也
  • Organizer: Institute of Mathematical Statistics Asia Pacific Rim Meeting(国際学会)
  • Place of Presentation: Tsukuba International Congress Center
  • Year and Date: 2012-07-03
• [Presentation] Empirical likelihood-based focused information criterion (2012)
  • Author(s): 末石直也
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 神戸大学
• [Presentation] Information Criteria for Moment Restriction Models (2011)
  • Author(s): 末石直也
  • Organizer: Empirical Finance and Econometrics (国際研究集会)
  • Place of Presentation: 京都大学
  • Year and Date: 2011-11-30
• [Presentation] Information Criteria for Moment Restriction Models (2011)
  • Author(s): 末石直也
  • Organizer: 統計関連学会連合大会
  • Place of Presentation: 九州大学
  • Year and Date: 2011-09-05
• [Presentation] Empirical Likelihood-Based Focused Information Criterion (2011)
  • Author(s): 末石直也
  • Organizer: SummerWorkshop on Economic Theory
  • Place of Presentation: 小樽商科大学
  • Year and Date: 2011-08-10
• [Presentation] Empirical likelihood-based focused information criterion (2011)
  • Author(s): 末石直也
  • Organizer: Summer Workshop on Economic Theory
  • Place of Presentation: 小樽商科大学
• [Presentation] Information criteria for moment restriction models (2011)
  • Author(s): 末石直也
  • Organizer: 統計関連学会連合大会
  • Place of Presentation: 九州大学
• [Presentation] Information criteria for moment restriction models (2011)
  • Author(s): 末石直也
  • Organizer: Recent Development in Statistics, Empirical Finance and Econometrics
  • Place of Presentation: 京都大学
• [Presentation] Model Selection Criterion for Infinite Dimensional Instrumental Variable Models
  • Author(s): 末石直也
  • Organizer: Institute of Mathematical Statistics Asia Pacific Rim Meeting
  • Place of Presentation: Tsukuba International Congress Center
  • Invited
• [Presentation] Model Selection Criterion for Instrumental Variable Models
  • Author(s): 末石直也
  • Organizer: 計量経済学セミナー
  • Place of Presentation: 京都大学経済研究所
• [Presentation] Bayesian Empirical Likelihood for Moment Inequality Models
  • Author(s): 末石直也
  • Organizer: Summer Workshop on Economic Theory
  • Place of Presentation: 小樽商科大学
• [Presentation] A New Interpretation of Empirical Likelihood for Time Series Models and Its Applicaton to Model Selection Testing
  • Author(s): 末石直也
  • Organizer: Hitotsubashi-Sogang Conference on Econometrics
  • Place of Presentation: Sogang University (Korea)
• [Presentation] Bayesian Empirical Likelihood for Moment Inequality Models
  • Author(s): 末石直也
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 一橋大学
• [Presentation] Variable and Order Selection Criterion for Series Estimation in Partially Linear Models
  • Author(s): 吉村有博
  • Organizer: 日本統計学会春季大会
  • Place of Presentation: 学習院大学
• [Presentation] A New Interpretation of Empirical Likelihood for Time Series Models and Its Applicaton to Model Selection Testing
  • Author(s): 末石直也
  • Organizer: 土曜研究会
  • Place of Presentation: 小樽商科大学
• [Remarks] 研究成果は下記ホームページでも公開している。
  • URL: http://www.econ.kyoto-u.ac.jp/~sueishi/