Nonparametric and Semiparametric Methods for Econometric Analysis

计量经济分析的非参数和半参数方法

• 批准号: 1156266
• 负责人: Yuichi Kitamura
• 金额: $ 28.15万
• 依托单位: Yale University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2012
• 资助国家: 美国
• 起止时间: 2012-07-01 至 2016-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1156266&HistoricalAwards=false
• 关键词: Nonparametric; Semiparametric; Methods; Econometric; Analysis

This project consists of two sub-projects, each of which aims at developing new tools for econometric analysis. The first proposes a practical procedure for moment condition models. Moment condition models have been extensively studied over the last few decades, though relatively little is known as to how to estimate them using the Bayesian approach, which is convenient if one wishes to incorporate prior beliefs into her analysis.There exist at least two significant challenges associated with applications of the Bayesian approach to moment condition models. First, a flexible way to express one's beliefs needs to be used. Second, a general moment condition model induces complicated interdependence across unknown parameters that are being estimated. This project proposes a new approach to address them. It is applicable in many areas across diverse disciplines, since moment condition models are fundamental to general statistical analysis.The second sub-project proposes econometric tools for analyzing economic rationality while taking account of heterogeneity across individuals. In particular, it empirically examines the concept of stochastic rationality, which has been considered in various branches of economics and psychology. The empirical content of stochastic rationality is expressed in terms of a high dimensional system of inequalities stated in an indirect manner. This feature poses challenges both theoretically and computationally, and a set of novel econometric methods are proposed to overcome them.Additionally, these methods provide means to conduct policy analysis without imposing arbitrary assumptions. This has direct implications for evaluation of actual economic policies. Both sub-projects will produce computer programs for the proposed procedures, and they will be made available to the public at no costs. Also, the proposed activities are expected to provide educational benefits to students through research assistantships supported by the grant.

该项目由两个子项目组成，每个子项目旨在开发计量经济分析的新工具。首先提出了一种实用的矩条件模型处理方法。在过去的几十年里，矩条件模型得到了广泛的研究，尽管相对较少的人知道如何使用贝叶斯方法来估计它们，如果有人希望将先验信念纳入她的分析，这是很方便的。将贝叶斯方法应用于矩条件模型至少存在两个重大挑战。首先，需要使用灵活的方式来表达自己的信仰。其次，一般的力矩条件模型会导致所估计的未知参数之间复杂的相互依赖关系。该项目提出了一种解决这些问题的新方法。它适用于不同学科的许多领域，因为矩条件模型是一般统计分析的基础。第二个子项目提出了在考虑个体异质性的同时分析经济合理性的计量经济学工具。特别是，它实证地检验了随机理性的概念，这在经济学和心理学的各个分支中都得到了考虑。随机理性的经验内容是用一种间接的方式表达的高维不等式系统。这一特征在理论上和计算上都提出了挑战，并提出了一套新的计量经济学方法来克服它们。此外，这些方法提供了在不强加任意假设的情况下进行政策分析的手段。这对评估实际经济政策有直接影响。这两个子项目将为拟议的程序制作计算机程序，并将免费向公众提供。此外，拟议的活动预计将通过由赠款支持的研究助理奖学金为学生提供教育效益。