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計量経済学

計量経済学セミナーは、国内外の計量経済学研究者を招聘し、計量経済理論や実証分析に関する研究報告をお願いし、議論を通じて相互に理解を深めると共に、新たな研究テーマを模索する場を提供します。計量経済学に興味をもつ研究者、ポスドク、大学院、学部学生の皆さんのご参加を歓迎します。

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日時
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報告者/場所
詳細
2013/10/09 (水)
16:30〜18:00
修士論文中間発表会 Nonparametric tests for the effect of the treatment on conditional variance
金 燕春 (京都大学・院)
第一共同研究室 (4F北側)
2013/09/18 (水)
16:30〜18:00
Do Siblings Free-Ride in ‘Being There’ for Parents?
丸山 士行 (University of New South Wales)
第一共同研究室 (4F北側)
2013/09/11 (水)
16:30〜18:00
Set Identification of the Censored Quantile Regression Model for Short Panels with Fixed Effects(Tong Liとの共著)
岡 達志 (National University of Singapore)
第一共同研究室 (4F北側)
2013/07/26 (金)
16:30〜18:00
Finite Sample Bias and MSE of Fully Aggregated Estimator for AR(1) model with a General Error Distribution
永田 修一 (同志社大学)
第一共同研究室 (4F北側)

[Abstract]
 We derive the finite sample bias and mean squared error of the fully aggregated estimator (FAE) for the stationary AR(1) model with intercept, which is proposed by Han, Phillips, and Sul (2011, Econometric Theory). Our analytical results show why the FAE is less biased than the ordinary least square estimator in finite sample case and is not biased by non-normality of error distribution and by intercept term at least O(1/T ), where T is sample size. We also propose a second order unbiased FAE using the analytical result. Finally, we examine the Monte Carlo simulation and show that it is consistent with the theoretical results.

2013/07/17 (水)
16:30〜18:00
Quasi Bayesian Model Selection(新谷元嗣との共著)
井上 篤 (North Carolina State University)
第一共同研究室 (4F北側)
2013/07/03 (水)
16:30〜18:00
A nonparametric Bayesian approach for counterfactual prediction with an application to the Japanese private nursing home market
菅原 慎矢 (東京大学)
第一共同研究室 (4F北側)

[Abstract]
 This paper analyzes impacts of an outdated but sticky economic circumstance in the Japanese private nursing home market. Under this circumstance, homes cover all longevity risks of the residents. To measure its impacts, I compare consumers’ lifetime payments with and without this circumstance. This analysis provides implications for consumer welfare as a policy evaluation and longevity risk premium that homes assume. For the prediction analysis, I construct a structural econometric model that fits industrial organization of the nursing home market. Then, I propose a flexible prediction technique using a nonparametric Bayesian approach. My prediction analysis finds an excess payment under the circumstance that can be compensate only if a consumer live longer than thirty years in a nursing home. This results indicate rich policy implications for sustainable policy of elderly care in Japan.

2013/06/12 (水)
16:30〜18:00
The Effects of Commodity Price Shocks and Systematic Monetary Policy in Developed Countries
関根 篤史 (京都大学・院)
第一共同研究室 (4F北側)
2013/05/29 (水)
16:30〜18:00
Power Analysis for Factor Loading Structural Change Tests under Common Breaks
山本 庸平 (一橋大学)
第一共同研究室 (4F北側)

[Abstract]
 Factor loading structural change tests proposed by Breitung and Eickmeier (2011) exhibit nonmonotonic power when a portion of the factor loadings have structural changes occuring at common dates. To investigate this phenomenon, we develop spurious factor representations of the factor model with m common breaks. We show that, under a local alternative asymptotic framework in which the magnitudes of breaks shrink at rate max{N,T}^(1/2), the original factor space is consistently estimated and the tests have power. However, if we apply the fixed alternative asymptotic framework in which the break magnitudes are fixed, then the common breaks in the factor loadings are considered as spurious factors with time invariant loadings, hence the tests lose power. Monte Carlo simulations clearly illustrate these findings. This paper casts a new light on the well known nonmonotonic power problem in structural change testing since it now occurs by identification failure between the common factors and the factor loadings. Furthermore, none of the SupWald, the SupLR, and the SupLM structural change tests can avoid this problem.

2013/04/17 (水)
16:30〜18:00
Derving Information Bounds for Nonlinear Panel Data Models with Fixed Effects When Both N and T are Large
岩倉 相雄 (京都大学・院)
第一共同研究室 (4F北側)
2013/03/13 (水)
16:30〜18:00
Decomposition of Supply and Demand Shock in Production Function Using Current Survey of Production
小西 葉子 (経済産業研究所)
京都大学 総合研究2号館 4階 460室 セミナー室1

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