Development of Bayesian estimation of nonparametric instrumental variables models

2014 Fiscal Year Final Research Report

• Project/Area Number: 25780152
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic statistics
• Research Institution: The University of Tokyo
• Principal Investigator: KATO Kengo 東京大学, 経済学研究科(研究院), 准教授 (50549780)
• Project Period (FY): 2013-04-01 – 2015-03-31
• 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

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.

Free Research Field

数理統計学、計量経済学