2012 Fiscal Year Final Research Report
Focused information criterion for semiparametric models
| Project/Area Number |
23730215
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Kyoto University |
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Principal Investigator |
SUEISHI Naoya 京都大学, 経済学研究科(研究院), 講師 (40596251)
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| Project Period (FY) |
2011 – 2012
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| Keywords | 集中情報量規準 / モデル選択 / モデルアベレージング / 経験尤度法 |
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| Research Abstract |
The goal of model selection is to select a “best” model in a data-driven way. However, the best model generally differs for different intended use of the model. This study develops an empirical likelihood-based model selection method for moment restriction models that is designed to obtain a good estimate for a specific parameter of interest. This study also investigates a model averaging method for moment restriction models that minimizes the mean squared error of the estimator.
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