Semiparametric Econometrics

半参数计量经济学

基本信息

批准号：
13630026
负责人：
KUNITOMO Naoto
金额：
$ 1.86万
依托单位：
University of Tokyo
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2001
资助国家：
日本
起止时间：
2001 至 2002
项目状态：
已结题

项目摘要

The main purpose of this project was to re-examine the existing statistical methods often used in in semiparametric econometric analysis and statistical analysis.First we have investigated the major semiparametric statistical methods for analyzing econometric analyses and financial econometric analyses. In particular we have investigated the empirical likelihood (EL) approach to econometric problems which was initially advocated by A.Owen. We have compared the statistical properties of the maximum empirical likelihood (MEL) method and the generalized method of moments (GMM). The latter method has been well-known in econometric analyses and it has been the most popular semiparametric method in the past two decades within the field of econometrics. We have found that there are important situations in applications where the MEL method dominates the GMM method. In order to investigate the small sample properties of these estimation methods, we have developed the asymptotic expansion method … More . Because we have fount some important results in theory as well as in applications we are still in the process of investigation.Second, we have investigated the semiparametric statistical methods in the statistical time series analysis and survival analysis (statistical reliability theory). In particular we have investigated the modeling of hazard functions and their applications to the problem of constructing economic indicators.Third, there have been many new results we have obtained under the research efforts of this project on the semiparametric statistical analyses. The details of the results under our research project have been reported in domestic as well as international academic meetings and have been (or will be) reported in academic papers listed in this report.In conclusion, we have accomplished the most important objectives of this project. Six members participated in this project officially have written many papers and also stimulated a large number of researchers in the related fields and some statisticians in the academic international perspectives We thank The Ministry of Education, Science, Sports and Culture and Japan Society for the Promotion of Science for giving the generous support to our research project. Less

该项目的主要目的是重新检查半参数经济分析和统计分析中经常使用的现有统计方法。我们已经调查了用于分析计量经济学分析和金融经济分析的主要半参数统计方法。我们尤其是在经济学上（EL）对经济问题进行了研究，该方法是由A. A. A. A. A. A. A. a的。我们已经比较了最大经验可能性（MEL）方法的统计特性和矩（GMM）的广义方法。后来的方法在经济分析中是众所周知的，它一直是过去二十年来经济学领域中最受欢迎的半参数方法。我们发现，在应用中，MEL方法主导GMM方法的应用中存在重要情况。为了研究这些估计方法的较小样品特性，我们开发了不对称的扩展方法……更多。因为我们在理论和应用中都有一些重要的结果，所以我们仍在投资过程中。第二，我们研究了统计时间序列分析和生存分析（统计可靠性理论）中的半参数统计方法。特别是我们已经调查了危害功能的建模及其在构建经济指标问题上的应用。三分之二，根据该项目的研究工作，我们在半摩擦统计分析的研究工作中获得了许多新的结果。我们的研究项目下的结果的细节已在国内和国际学术会议上进行了报道，并在本报告中列出的学术论文中进行了报告。总而言之，我们已经实现了该项目最重要的目标。六名成员正式参与了该项目，他们撰写了许多论文，并且在学术国际观点中刺激了大量的研究人员，一些统计学家在国际观点中，我们感谢教育，科学，体育和文化和日本科学学会的促进科学学会为我们的研究项目提供了慷慨的支持。较少的