Semiparametric Econometrics

本项目的主要目的是重新审视在半参数计量分析和统计分析中常用的现有统计方法。首先，我们研究了用于计量分析和金融计量分析的主要半参数统计方法。特别是，我们研究了经验似然(EL)方法来解决计量经济学问题，这种方法最初是由A.Owen倡导的。我们比较了最大经验似然(MEL)方法和广义矩方法(GMM)的统计性质。后一种方法在计量经济学分析中已经广为人知，它是近二十年来计量经济学领域中最流行的半参数方法。我们发现在应用中存在MEL方法支配GMM方法的重要情况。为了研究这些估计方法的小样本性质，我们发展了渐近展开方法…更多。由于我们在理论和应用上都取得了一些重要的结果，所以我们还在研究的过程中。其次，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，我们研究了风险函数的建模及其在构建经济指标问题上的应用。第三，在本项目的研究工作下，我们在半参数统计分析方面取得了许多新的结果。我们的研究项目的详细结果已在国内和国际学术会议上报告，并已经(或将会)在本报告列出的学术论文中报告。总而言之，我们实现了该项目最重要的目标。参与该项目的六名成员正式撰写了许多论文，也激发了大量相关领域的研究人员和一些国际学术视野的统计学家。我们感谢文部科学省和日本科学促进会对我们研究项目的慷慨支持。较少

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