Statistical Inference for Nonparametric and Semiparametric Econometric Models

• Project/Area Number: 24730191
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic statistics
• Research Institution: Tokyo Institute of Technology (2013-2014); University of Tsukuba (2012)
• Principal Investigator: MATSUSHITA Yukitoshi 東京工業大学, 情報理工学(系)研究科, 准教授 (50593589)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Project Status: Completed (Fiscal Year 2014)
• Budget Amount: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000); Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
• Keywords: ノンパラメトリックモデル / セミパラメトリックモデル / 統計的推測 / 経験尤度法 / 回帰分断デザイン / 平均処置効果 / 実現ボラティリティ / 経験尤度

Outline of Final Research Achievements

We proposed new statistical inference methods for several nonparametric and semiparametric models and discussed their performance by asymptotic theory and numerical experiments. To be specific, we considered (1) semiparametric functional coefficient models, (2) regression discontinuity design, (3)　discontinuity in density, (4) volatility under high frequency data, (5) average treatment effects. We discussed the empirical likelihood method for (1), (2), (3) and (5), and the nonparametric likelihood method for (4).

Research Products

• [Journal Article] Empirical Likelihood for Regression Discontinuity Design (2015)
  • Author(s): Otsu,T., K.Xu, and Y.Matsushita
  • Journal Title: Journal of Econometrics Volume: 印刷中 Issue: 1 Pages: 94-112
  • DOI: 10.1016/j.jeconom.2014.04.023
  • Peer Reviewed / Open Access
• [Journal Article] Second-order Refinement of Empirical Likelihood for Testing Overidentifying Restrictions (2013)
  • Author(s): Matsushita, Y. and T. Otsu
  • Journal Title: Econometric Theory Volume: 29 Pages: 324-353
  • Peer Reviewed
• [Journal Article] Estimation and Inference of Discontinuity in Density (2013)
  • Author(s): Otsu, Y., K. Xu and Y. Matsushita
  • Journal Title: Journal of Business and Economic Statistics Volume: 31 Pages: 507-524
  • Peer Reviewed
• [Journal Article] Second-order Refinement of Empirical Likelihood for Testing Moment Restrictions (2013)
  • Author(s): Matsushita, Y. and Otsu, T.
  • Journal Title: Econometric Theory Volume: 29 Issue: 2 Pages: 324-353
  • DOI: 10.1017/s0266466612000369
  • Peer Reviewed
• [Presentation] Empirical Likelihood for Semi-parametric Models with application to Average Treatment Effects (2014)
  • Author(s): 松下 幸敏
  • Organizer: Mini-conference in Microeconometrics 2014 in Hakone
  • Place of Presentation: 静雲荘会議室（神奈川県）
  • Year and Date: 2014-06-27
• [Presentation] Semi-local generalized method of moments
  • Author(s): 松下幸敏
  • Organizer: 横浜国立大学セミナー
  • Place of Presentation: 横浜国立大学
• [Presentation] Semi-local GMM estimation for semiparametric functional coefficient models
  • Author(s): 松下幸敏
  • Organizer: 大阪大学セミナー
  • Place of Presentation: 大阪大学