Theory and Applications of Micro-econometrics

微观计量经济学理论与应用

基本信息

批准号：
15530138
负责人：
KUNITOMO Naoto
金额：
$ 2.11万
依托单位：
The 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：
2003
资助国家：
日本
起止时间：
2003 至 2004
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-15530138/
关键词：
Micro-econometrics Generalized Method of Moments Empirical Likelihood Method Limited Information Maximum Likelihood Method Small Sample Properties Asymptotic Expansions Asymptotic Theory 制限情報最尤法

项目摘要

The main purpose of this project was to re-examine the existing statistical methods often used in in micro-econometric analysis and their applications.First we have investigated the major semiparametric statistical methods for analyzing econometric analyses and financial econometric analyses. We have investigated the empirical likelihood (EL) approach. In particular, we have compared 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 and we have investigated the small sample properties of these estimation methods by using the asymptotic expansion method.Second, we have also investigated the classical method of the limited information maximum likelihood (LIML) metho … More d and found that it has an asymptotic optimality in the micro-econometric models when the number of instruments is large. We have investigated the small sample differences among the ME method, the GMM method, the LIML method and the TSLS (Two-Stage Least Squares) method in depth.Third, there have been many new results we have obtained under the research efforts of this project on the MEL method and the LIML method. 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. Four 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研究微观经济分析及其应用中经常使用的现有统计方法。首先，我们研究了用于分析计量经济学分析和金融经济学分析的主要半参数统计方法，我们已经研究了方法（EL）的方法（EL）。（GMM）。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方法的某些情况存在重要情况，并且我们通过使用非对称扩展方法研究了这些估计方法的较小样本特性。相互研究，我们还研究了有限信息最大可能性（LIML）方法的经典方法……在Micretric INSONONS IS MIDENRIC模型中较大的模型数量较大。我们已经研究了ME方法，GMM方法，LIML方法和TSL（两阶段最小二乘）方法之间的样本差异很小。三分之二，在该项目的研究工作中，我们在MEL方法和LIML方法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。四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，在相关领域和一些统计学家中刺激了许多研究人员，我们感谢教育，科学，体育和文化和日本科学促进社会的促进科学学会为我们的研究项目提供慷慨的支持。较少的