2002 Fiscal Year Final Research Report Summary
Semiparametric Econometrics
| Project/Area Number |
13630026
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | University of Tokyo |
|---|
Principal Investigator |
KUNITOMO Naoto University of Tokyo, Graduate School of Economics, Professor, 大学院経済学研究科, 教授 (10153313)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
YAMAMOTO Taku Hitotsubashi University, Graduate School of Economics, Professor, 経済学部, 教授 (50104716)
TAKAHASHI Hajime Hitotsubashi University, Graduate School of Economics, Professor, 経済学部, 教授 (70154838)
NAWATA Kazumitsu University of Tokyo, Graduate School of Engineering, Professor, 大学院経済学研究科, 教授 (00218067)
YAJIMA Yoshihiro University of Tokyo, Graduate School of Economics, Professor, 大学院経済学研究科, 教授 (70134814)
OHMORI Yasuhiro University of Tokyo, Graduate School of Economics, Associate Professor, 大学院経済学研究科, 教授 (60251188)
|
|---|
| Project Period (FY) |
2001 – 2002
|
| Keywords | Semiparametric Econometrics / Generalized Method of Moments / Empirical Likelihood Method / Small Sample Properties / Asymptotic Expansions |
|---|
| Research Abstract |
The main purpose of this project was to re-examine the existing statistical methods often used in in semiparametric econometric analysis and statistical analysis.
First we have investigated the major semiparametric statistical methods for analyzing econometric analyses and financial econometric analyses. In particular we have investigated the empirical likelihood (EL) approach to econometric problems which was initially advocated by A.Owen. We have compared the statistical properties of the maximum empirical likelihood (MEL) method and the generalized method of moments (GMM). The latter method has been well-known in econometric analyses and it has been the most popular semiparametric method in the past two decades within the field of econometrics. We have found that there are important situations in applications where the MEL method dominates the GMM method. In order to investigate the small sample properties of these estimation methods, we have developed the asymptotic expansion method
… More
. Because we have fount some important results in theory as well as in applications we are still in the process of investigation.
Second, we have investigated the semiparametric statistical methods in the statistical time series analysis and survival analysis (statistical reliability theory). In particular we have investigated the modeling of hazard functions and their applications to the problem of constructing economic indicators.
Third, there have been many new results we have obtained under the research efforts of this project on the semiparametric statistical analyses. The details of the results under our research project have been reported in domestic as well as international academic meetings and have been (or will be) reported in academic papers listed in this report.
In conclusion, we have accomplished the most important objectives of this project. Six members participated in this project officially have written many papers and also stimulated a large number of researchers in the related fields and some statisticians in the academic international perspectives We thank The Ministry of Education, Science, Sports and Culture and Japan Society for the Promotion of Science for giving the generous support to our research project. Less
|
