2017 Fiscal Year Final Research Report
Inference for many moment inequalities models
Project/Area Number |
15K03392
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Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Economic statistics
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Research Institution | The University of Tokyo |
Principal Investigator |
KATO Kengo 東京大学, 大学院経済学研究科(経済学部), 准教授 (50549780)
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Project Period (FY) |
2015-04-01 – 2018-03-31
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Keywords | 計量経済学 / モーメント不等式 |
Outline of Final Research Achievements |
A moment inequality model is a model where the parameter of interest is defined by moment inequality restrictions, and has attracted much interest in the recent econometrics literature. In this research project, I have worked on developing inference methods for parameters defined by moment inequalities the number of which may exceed the sample size. Specifically, I first developed probabilistic techniques required for the theoretical analysis, and then building upon such probabilistic results, I proposed inference methods based on max type statistics and proved their theoretical validity. Finally, I also conducted numerical studies to verify the practical performance of the proposed inference methods.
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Free Research Field |
数理統計学、計量経済学
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