Development of Bayesian estimation of nonparametric instrumental variables models
| Project/Area Number |
25780152
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | The University of Tokyo |
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Principal Investigator |
KATO Kengo 東京大学, 経済学研究科(研究院), 准教授 (50549780)
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| Project Period (FY) |
2013-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| 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)
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| 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 |
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| 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.
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Report
(3 results)
Research Products
(21 results)
