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。
16:45〜18:15
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16:45〜18:15
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.
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16:30〜18:00
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/
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16:30〜18:00
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18:30〜20:00
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)
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18:00〜19:30
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)
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10:00〜11:30
主催 TEDS (TRANSDISCIPLINARY ECONOMETRICS & DATA SCIENCE SEMINAR)
https://qingfeng-liu.github.io/Econometrics_seminar.html
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)
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EBPM研究会と共催(登録者のみ参加可能)
16:45〜18:15
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16:30〜18:00
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