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A theory of statistical inference for semiparametric econometric models

Research Project

Project/Area Number 26780133
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Economic statistics
Research InstitutionHitotsubashi University (2017-2018)
Tokyo Institute of Technology (2014-2016)

Principal Investigator

Matsushita Yukitoshi  一橋大学, 大学院経済学研究科, 准教授 (50593589)

Project Period (FY) 2014-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2015: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Keywordsセミパラメトリックモデル / 統計的推測 / 経験尤度法 / 経験尤度 / 高頻度データ / 一般化積率法 / ノンパラメトリックモデル / 回帰分断デザイン / 平均処置効果 / 実現ボラティリティ
Outline of Final Research Achievements

First, we proposed two statistical inference methods for general semiparametric models by empirical likelihood (``Semiparametric empirical likelihood method'' and ``Jackknife empirical likelihood''), and discussed their statistical properties. Second, we proposed a new statistical inference method for volatility measures in high frequency data environments by nonparametric likelihood. Third, we performed empirical studies on the impact of safe water on infectious disease using semi/nonparametric models.

Academic Significance and Societal Importance of the Research Achievements

近年の計量経済分析において、モデルの誤特定によるバイアスを避けるために、関数形の仮定をできるだけ置かないセミ・ノンパラメトリックモデルは不可欠なモデルとなっている。一方で、セミ・ノンパラメトリックモデルは置かれている仮定が少ないため、一般に統計的推測が困難であり、信頼性の高い統計的推測法の開発は重要な課題である。本研究では、いくつかの具体的なセミパラメトリックモデルにおいて新たな統計的推測法を開発するとともに、一般のセミパラメトリックモデルにおける統計的推測理論の構築のために有益ないくつかの結果を導出した。

Report

(6 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Research-status Report
  • 2016 Research-status Report
  • 2015 Research-status Report
  • 2014 Research-status Report
  • Research Products

    (17 results)

All 2019 2018 2017 2016 2015 2014 Other

All Int'l Joint Research (5 results) Journal Article (6 results) (of which Int'l Joint Research: 3 results,  Peer Reviewed: 6 results,  Open Access: 2 results) Presentation (6 results) (of which Int'l Joint Research: 1 results)

  • [Int'l Joint Research] London School of Economics(英国)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] London School of Economics(英国)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] London School of Economics(英国)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] London School of Economics(英国)

    • Related Report
      2015 Research-status Report
  • [Int'l Joint Research] St. Gallen University(スイス)

    • Related Report
      2015 Research-status Report
  • [Journal Article] Empirical Likelihood for High Frequency Data2019

    • Author(s)
      Camponovo, L., Matsushita, Y. and T. Otsu
    • Journal Title

      Journal of Business and Economic Statistics

      Volume: 印刷中 Issue: 3 Pages: 621-632

    • DOI

      10.1080/07350015.2018.1549051

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Public health and multiple-phase mortality decline: Evidence from industrializing Japan2018

    • Author(s)
      Kota Ogasawara and Yukitoshi Matsushita
    • Journal Title

      Economics & Human Biology

      Volume: 29 Pages: 198-210

    • DOI

      10.1016/j.ehb.2018.04.001

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Likelihood Inference on Semiparametric Models: Average Derivative and Treatment Effect2018

    • Author(s)
      Yukitoshi Matsushita and Taisuke Otsu
    • Journal Title

      Japanese Economic Review

      Volume: 印刷中 Issue: 2 Pages: 133-155

    • DOI

      10.1111/jere.12167

    • Related Report
      2017 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Heterogeneous treatment effects of safe water on infectious disease: Do meteorological factors matter?2018

    • Author(s)
      Kota Ogasawara & Yukitoshi Matsushita
    • Journal Title

      Cliometrica

      Volume: in press Issue: 1 Pages: 55-82

    • DOI

      10.1007/s11698-017-0169-6

    • Related Report
      2017 Research-status Report
    • Peer Reviewed
  • [Journal Article] MOMENT ESTIMATION OF THE PROBIT MODELWITH AN ENDOGENOUS CONTINUOUS REGRESSOR2016

    • Author(s)
      Kawaguchi,D., Y.Matsushita, and H.Naito
    • Journal Title

      Japanese Economic Review

      Volume: 印刷中

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Empirical Likelihood for Regression Discontinuity Design2015

    • 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

    • Related Report
      2014 Research-status Report
    • Peer Reviewed / Open Access
  • [Presentation] Jackknife, Small-bandwidth and high-dimensional asymptotics2017

    • Author(s)
      Yukitoshi Matsushita
    • Organizer
      International Conference on Computational and Financial Econometrics
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Jackknife, Many Instrument, Small b asymptotic2016

    • Author(s)
      松下幸敏
    • Organizer
      STICERD econometrics seminar
    • Place of Presentation
      London School of Economics
    • Year and Date
      2016-11-17
    • Related Report
      2016 Research-status Report
  • [Presentation] Nonparametric Likelihood for Volatility under High frequency Data2016

    • Author(s)
      松下 幸敏
    • Organizer
      関西計量経済学会
    • Place of Presentation
      東京大学
    • Year and Date
      2016-01-09
    • Related Report
      2015 Research-status Report
  • [Presentation] Likelihood inference on Semiparametric Models with Generated Regressors2015

    • Author(s)
      Yukitoshi Matsushita
    • Organizer
      STICERD econometrics seminar
    • Place of Presentation
      London School of Economics
    • Year and Date
      2015-10-01
    • Related Report
      2015 Research-status Report
  • [Presentation] Improved Empirical Likelihood for Average Treatment Effects2015

    • Author(s)
      松下 幸敏
    • Organizer
      日本統計学会
    • Place of Presentation
      岡山大学
    • Year and Date
      2015-09-07
    • Related Report
      2015 Research-status Report
  • [Presentation] Empirical Likelihood for Semi-parametric Models with application to Average Treatment Effects2014

    • 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
    • Related Report
      2014 Research-status Report

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Published: 2014-04-04   Modified: 2022-02-03  

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