• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Development of Bayesian estimation of nonparametric instrumental variables models

Research Project

Project/Area Number 25780152
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Economic statistics
Research InstitutionThe University of Tokyo

Principal Investigator

KATO Kengo  東京大学, 経済学研究科(研究院), 准教授 (50549780)

Project Period (FY) 2013-04-01 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
Budget Amount *help
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2014: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Fiscal Year 2013: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Keywords計量経済学 / ベイズ推定 / ノンパラメトリック操作変数モデル
Outline of Final Research Achievements

I have studied Bayesian estimation of nonparametric instrumental variables models. Specifically, I have derived sharp contraction rates for the quasi-posterior, and sharp convergence rates for the Bayesian estimator defined by the posterior expectation (more precisely, I have derived conditions for priors under which these sharp rates are attained). I have also studied extensions to the cases where there are multivariate endogenous variables and exogenous variables. In addition, I have studied extensions of these results to nonparametric instrumental variables quantile regression models.

Report

(3 results)
  • 2014 Annual Research Report   Final Research Report ( PDF )
  • 2013 Research-status Report
  • Research Products

    (21 results)

All 2015 2014 2013

All Journal Article (8 results) (of which Peer Reviewed: 8 results,  Acknowledgement Compliant: 5 results,  Open Access: 2 results) Presentation (13 results) (of which Invited: 6 results)

  • [Journal Article] Uniform post selection inference for LAD regression and other Z-estimation problems2015

    • Author(s)
      Alexandre Belloni, Victor Chernozhukov, and Kengo Kato
    • Journal Title

      Biometrika

      Volume: 102 Issue: 1 Pages: 77-94

    • DOI

      10.1093/biomet/asu056

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Comparison and anti-concentration bounds for maxima of Gaussian random vectors2015

    • Author(s)
      Victor Chernozhukov, Denis Chetverikov, and Kengo Kato
    • Journal Title

      Probability Theory and Related Fields

      Volume: 印刷中 Issue: 1-2 Pages: 47-70

    • DOI

      10.1007/s00440-014-0565-9

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Estimation and inference for linear panel data models under misspecification when both n and T are large2014

    • Author(s)
      Antonio Galvao and Kengo Kato
    • Journal Title

      Journal of Business and Economic Statistics

      Volume: 32 Issue: 2 Pages: 285-309

    • DOI

      10.1080/07350015.2013.875473

    • Related Report
      2014 Annual Research Report 2013 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Gaussian approximation of suprema of empirical processes2014

    • Author(s)
      Victor Chernozhukov, Denis Chetverikov, and Kengo Kato
    • Journal Title

      Annals of Statistics

      Volume: 42 Issue: 4 Pages: 1564-1597

    • DOI

      10.1214/14-aos1230

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] Anti-concentration and honest, adaptive confidence bands2014

    • Author(s)
      Victor Chernozhukov, Denis Chetverikov, and Kengo Kato
    • Journal Title

      Annals of Statistics

      Volume: 42 Issue: 5 Pages: 1787-1818

    • DOI

      10.1214/14-aos1235

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] Testing linearity against threshold effects: uniform inference in quantile regression2014

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

      Annals of the Institute of Statistical Mathematics

      Volume: 66 Issue: 2 Pages: 413-439

    • DOI

      10.1007/s10463-013-0418-9

    • NAID

      40020021344

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] Quasi-Bayesian analysis of nonparametric instrumental variables models2013

    • Author(s)
      Kengo Kato
    • Journal Title

      Annals of Statistics

      Volume: 41 Issue: 5 Pages: 2359-2390

    • DOI

      10.1214/13-aos1150

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors2013

    • Author(s)
      Victor Chernozhukov, Denis Chetverikov, and Kengo Kato
    • Journal Title

      Annals of Statistics

      Volume: 41 Issue: 6 Pages: 2786-2819

    • DOI

      10.1214/13-aos1161

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Presentation] 高次元中心極限定理に関するいくつかのトピック2015

    • Author(s)
      加藤賢悟
    • Organizer
      日本統計学会春季集会
    • Place of Presentation
      明治大学(東京都、中野区)
    • Year and Date
      2015-03-08
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Tesging many moment inequalties2015

    • Author(s)
      Kengo Kato
    • Organizer
      Econometrics Seminar
    • Place of Presentation
      ニューヘイブン(アメリカ)
    • Year and Date
      2015-02-18
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Testing many moment inequalities2014

    • Author(s)
      Kengo Kato
    • Organizer
      Department Seminar
    • Place of Presentation
      ソウル(韓国)
    • Year and Date
      2014-11-27
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Gaussian approximation of suprema of empirical processes2014

    • Author(s)
      Kengo Kato
    • Organizer
      3rd IMS-APRM
    • Place of Presentation
      台北(台湾)
    • Year and Date
      2014-06-29 – 2014-07-03
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Quasi-Bayesian analysis of nonparametric instrumental variables models2014

    • Author(s)
      Kengo Kato
    • Organizer
      Econometric Society Asian Meeting
    • Place of Presentation
      台北(台湾)
    • Year and Date
      2014-06-20 – 2014-06-22
    • Related Report
      2014 Annual Research Report
  • [Presentation] Testing many moment inequalities2014

    • Author(s)
      Kengo Kato
    • Organizer
      Cemmap Workshop "Advances in Microeconometrics"
    • Place of Presentation
      香港(中国)
    • Year and Date
      2014-05-23 – 2014-05-24
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Gaussian approximation of suprema of empirical processes2014

    • Author(s)
      Kengo Kato
    • Organizer
      NUS Workshop "Self-normalized Asymptotic Theory in Probability, Statistics and Econometrics"
    • Place of Presentation
      シンガポール(シンガポール)
    • Year and Date
      2014-05-14 – 2014-05-22
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors2013

    • Author(s)
      Kengo Kato
    • Organizer
      Econometric Society Asian Meeting
    • Place of Presentation
      シンガポール、National University of Singapore
    • Related Report
      2013 Research-status Report
  • [Presentation] Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors2013

    • Author(s)
      Kengo Kato
    • Organizer
      Bernoulli Society Satellite Meeting
    • Place of Presentation
      東京大学、東京都
    • Related Report
      2013 Research-status Report
  • [Presentation] Gaussian approximation of suprema of empirical processes2013

    • Author(s)
      加藤賢悟
    • Organizer
      統計関連学会連合大会
    • Place of Presentation
      大阪大学、大阪府
    • Related Report
      2013 Research-status Report
  • [Presentation] Gaussian approximation of suprema of empirical processes2013

    • Author(s)
      Kengo Kato
    • Organizer
      Econometric Seminar
    • Place of Presentation
      アメリカ、Boston University
    • Related Report
      2013 Research-status Report
  • [Presentation] Estimation in functional linear quantile regression2013

    • Author(s)
      Kengo Kato
    • Organizer
      ERCIM2013
    • Place of Presentation
      イギリス、University of London
    • Related Report
      2013 Research-status Report
  • [Presentation] Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors2013

    • Author(s)
      Kengo Kato
    • Organizer
      Cemmap Seminar
    • Place of Presentation
      イギリス、University College London
    • Related Report
      2013 Research-status Report

URL: 

Published: 2014-07-25   Modified: 2019-07-29  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi