JP

Events

Econometrics

Category
Date
Title
Presenter/Location
Details
2023/02/22 Wed
16:45〜18:15
Tying Maximum Likelihood Estimation for Dependent Data
劉 慶豊(法政大学)
第一共同研究室(4F北側)

Abstract: This study proposes a tying maximum likelihood estimation (TMLE) method to improve the performance of estimation of statistical and econometric models in which most time series have long sample periods, whereas the other time series are very short. The main idea of the TMLE is to tie the parameters of the long time series with those of the short time series together so that some useful information in the long time series which is related to the short time series can be transferred to the short time series. The information transferred from the long series can help improve the estimation accuracy of the parameters related to the short series. We first provide asymptotic properties of the TMLE and show its finite-sample risk bound with a fixed tuning parameter which determines the strength of tying. Further, we provide a method for selecting the tuning parameter based on a bootstrap procedure. A finite sample theory about this method is derived, which tells us how to conduct the bootstrap procedure effectively. Extensive artificial simulations and empirical applications show that the TMLE has an outstanding performance in point estimate and forecast.

(登録者のみ参加可能)

2022/03/23 Wed
16:30〜18:00
坂口 翔政(Brown University)
オンライン開催 (Online Seminar)

応用ミクロ経済学セミナーと共催
https://www.econ.kyoto-u.ac.jp/about/seminars/seminars-cat/seminar-micro/
(登録者のみ参加可能)

2022/03/16 Wed
16:30〜18:00
Time varying partial adjustment model with application to intraday price discovery
大屋 幸輔(大阪大学)
オンライン開催 (Online Seminar)

(登録者のみ参加可能)

2022/02/09 Wed
18:30〜20:00
Xiaohua Yu (Georg-August-University Göttingen)
オンライン開催 (Online Seminar)

主催 TEDS (TRANSDISCIPLINARY ECONOMETRICS & DATA SCIENCE SEMINAR)
https://teds-datascience.github.io/seminars/
共催 共同利用・共同研究拠点プロジェクト研究 (Joint Research Program of KIER, Kyoto University)
共催 計量経済学セミナー(Econometrics Seminar of KIER, Kyoto University)
(登録者のみ参加可能)

2022/01/18 Tue
18:00〜19:30
Thomas Kneib (Georg-August-University Göttingen)
オンライン開催 (Online Seminar)

主催 TEDS (TRANSDISCIPLINARY ECONOMETRICS & DATA SCIENCE SEMINAR)
https://teds-datascience.github.io/seminars/
共催 共同利用・共同研究拠点プロジェクト研究 (Joint Research Program of KIER, Kyoto University)
共催 計量経済学セミナー(Econometrics Seminar of KIER, Kyoto University)

(登録者のみ参加可能) 

2020/03/11 Wed
10:20〜16:45
(開催中止) Workshop on Recent Developments in Econometric Theory and Its Applications 2020
北館1階N101講義室

AY2019

2020/03/04 Wed
16:30〜18:00
Large Sample Justifications for the Bayesian Empirical Likelihood
末石 直也 (神戸大学)
第一共同研究室(4F北側)
2020/01/08 Wed
16:00〜18:00
Event Studies Analysis of Chinese Tourists to Taiwan
Chia-Lin Chang (National Chung Hsing大学)
第一共同研究室(4F北側)
2020/01/08 Wed
16:00〜18:00
Assumptions and Prayers in Financial Econometrics
Michael McAleer (Asia大学)
第一共同研究室(4F北側)
2019/12/04 Wed
16:30〜18:00
日本にRCTは普及するか? 研究者から見たEBPMムーブメント
横尾 英史 (一橋大学)
北館1階N101講義室

EBPMセミナーと共催

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