2010 Fiscal Year Final Research Report
Effects of infinite dimensional nuisance parameters on semiparametric estimators
| Project/Area Number |
19530182
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Kyoto Institute of Technology |
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Principal Investigator |
HITOMI Kohtaro Kyoto Institute of Technology, 工芸科学研究科, 准教授 (00283680)
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| Project Period (FY) |
2007 – 2010
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| Keywords | 計量経済学 / セミパラ推定 / 無限次元母数 / 分散の逆転 |
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| Research Abstract |
This paper considers a puzzling phenomenon that is observed in some semiparametric estimation problems. In some cases, using estimated values of the nuisance parameters provides a more efficient estimator for the parameters of interest than does using the true values. This phenomenon takes place even in cases of semi-nonparametric models in which the nuisance parameters are infinite dimensional and can not be estimated at the parametric rate. We examine the structure and present the necessary and sufficient condition for the occurrence of this puzzle. We also provide a simple sufficient condition. It shows that the puzzle occurs when the term accounting for the effect of estimation of nuisance parameters is included in the tangent space.
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