統計学輪講 第10回
日時 | 2021年6月22日(火) 14時55分 ~ 16時35分 |
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場所 | Zoomオンライン開催(URLはITC-LMSをご確認ください) |
講演者 | 下津 克己 (経済) |
演題 | 計量経済学における最近の話題 |
概要 |
本発表では、発表者の近年の研究を2件紹介する。 1. Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models Markov regime switching models have been widely used in numerous empirical applications in economics and finance. However, the asymptotic distribution of the maximum likelihood estimator (MLE) has not been proven for some empirically popular Markov regime switching models, including the seminal model of Hamilton (1989) and switching ARCH model of Hamilton and Susmel (1994). This paper shows the asymptotic normality of the MLE and consistency of the asymptotic covariance matrix estimate of these models. 2. Identification of Regression Models with a Misclassified and Endogenous Binary Regressor We study identification in nonparametric regression models with a misclassified and endogenous binary regressor when an instrument is correlated with misclassification error. We show that the regression function is nonparametrically identified if one binary instrument variable and one binary covariate satisfy the following conditions. The instrumental variable corrects endogeneity; the instrumental variable must be correlated with the unobserved true underlying binary variable, must be uncorrelated with the error term in the outcome equation, but is allowed to be correlated with the misclassification error. The covariate corrects misclassification; this variable can be one of the regressors in the outcome equation, must be correlated with the unobserved true underlying binary variable, and must be uncorrelated with the misclassification error. We also propose a mixture-based framework for modeling unobserved heterogeneous treatment effects with a misclassified and endogenous binary regressor. |