研究者紹介システム

難波 明生
ナンバ アキオ
大学院経済学研究科 経済学専攻
教授
商学・経済学関係
Last Updated :2020/09/03

研究者情報

所属

  • 【主配置】

    大学院経済学研究科 経済学専攻
  • 【配置】

    経済学部 経済学科, 数理・データサイエンスセンター

学位

  • 博士(経済学), 神戸大学

授業科目

ジャンル

  • 経済・金融 / 経済理論

コメントテーマ

  • 統計学
  • 計量経済学

研究活動

研究分野

  • 人文・社会 / 経済統計

論文

  • 漸近分布およびブートストラップ法によるスタイン型推定量の分布近似に関するシミュレーション分析

    難波明生

    2020年02月, 国民経済雑誌, 221 (2), 73 - 84, 日本語

    研究論文(学術雑誌)

  • 構造変化がある線形回帰モデルにおけるスタイン型推定量の応用に関する一考察

    難波 明生

    神戸大学経済経営学会, 2018年02月, 国民経済雑誌, 217 (2), 日本語

    研究論文(学術雑誌)

  • PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables

    難波 明生, Haifeng Xu

    Taylor and Francis, 2018年, Journal of Statistical Computation and Simulation, 英語

    [査読有り]

    研究論文(学術雑誌)

  • MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated

    Haifeng Xu, 難波 明生

    2018年, Communications in Statistics - Theory and Methods, 英語

    [査読有り]

    研究論文(学術雑誌)

  • A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model

    難波 明生, Haifeng Xu

    Taylor and Francis, 2018年, Journal of Statistical Computation and Simulation, 英語

    [査読有り]

    研究論文(学術雑誌)

  • Akio Namba, Kazuhiro Ohtani

    In this paper, we consider a regression model and propose estimators which are the weighted averages of two estimators among three estimators the Stein-rule (SR), the minimum mean squared error (MMSE), and the adjusted minimum mean-squared error (AMMSE) estimators. It is shown that one of the proposed estimators has smaller mean-squared error (MSE) than the positive-part Stein-rule (PSR) estimator over a moderate region of parameter space when the number of the regression coefficients is small (i.e., 3), and its MSE performance is comparable to the PSR estimator even when the number of the regression coefficients is not so small.

    Taylor and Francis Inc., 2018年03月04日, Communications in Statistics - Theory and Methods, 47 (5), 1204 - 1214, 英語

    [査読有り]

    研究論文(学術雑誌)

  • ワイルド・ブートストラップ法を用いた平均に関する検定のシミュレーション分析

    難波 明生

    神戸大学経済経営学会, 2016年, 国民経済雑誌, 213 (2), 63 - 75, 日本語

    研究論文(大学,研究機関等紀要)

  • Akio Namba

    In this paper we consider a regression model and a general family of shrinkage estimators of regression coefficients. The estimation of each individual regression coefficient is important in some practical situations. Thus, we derive the formula for the mean squared error (MSE) of the general class of shrinkage estimators for each individual regression coefficient. It is shown analytically that the general family of shrinkage estimators is dominated by its positive-part variant in terms of MSE whenever there exists the positive-part variant or, in other words, the shrinkage factor can be negative for some parameter and data values.

    SPRINGER, 2015年05月, STATISTICAL PAPERS, 56 (2), 379 - 390, 英語

    [査読有り]

    研究論文(学術雑誌)

  • Akio Namba

    In this article, we consider the Wald test statistic for testing equality between the sets of regression coefficients in two linear regression models when the disturbance variances may possibly be unequal. This test can be also used as a test for a structural break. However, it is well known that the test based on the Wald test statistic suffers from severe size distortion in small sample when the disturbance variances of the two regression models are unequal. Our simulation results show that substantial improvements are made when the bootstrap methods are applied.

    TAYLOR & FRANCIS INC, 2017年, COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 46 (5), 4127 - 4139, 英語

    [査読有り]

    研究論文(学術雑誌)

  • Double Bootstrap Test for a Structural Break when the Disturbance Variance Changes with the Break

    難波 明生

    2014年, Kobe University Economic Review, 英語

    研究論文(大学,研究機関等紀要)

  • ダブル・ブートストラップ法およびファスト・ダブル・ブートストラップ法による検定のシミュレーション比較

    難波 明生

    2013年, 国民経済雑誌, 日本語

    研究論文(大学,研究機関等紀要)

  • 平均に対する平滑化ブートストラップ法におけるバンド幅の選択に関する一考察

    難波 明生

    2012年04月, 国民経済雑誌, 第205巻3号41-55, 日本語

    研究論文(学術雑誌)

  • Small Sample Properties of a Pre-Test Stein-Rule Estimator for Each Individual Regression Coefficient under an Alternative Null Hypothesis in the Pre-Test

    難波 明生, 大谷 一博

    2012年04月, Kobe University Economic Review, (58), 1 - 9, 英語

    研究論文(学術雑誌)

  • MSE Performance of a Heterogeneous Pre-Test Ridge Regression Estimator

    難波 明生, 大谷 一博

    2012年04月, Communications in Statistics—Theory and Methods, Vol 41, No 9, pp. 1692-1700, 英語

    [査読有り]

    研究論文(学術雑誌)

  • MSE performance of a heterogeneous pre-test ridge regression estimator

    NAMBA Akio, OHTANI Kazuhiro

    2012年, Communications in Statistics-Theory and Methods, Vol. 41, pp.1692-1700, 英語

    [査読有り]

    研究論文(学術雑誌)

  • Risk Performance of a Pre-test Ridge Regression Estimator under the LINEX Loss Function when Each Individual Regression Coefficient is Estimated

    難波 明生, 大谷 一博

    2010年, Journal of Statistical Computation and Simulation, 80・255-262, 英語

    [査読有り]

    研究論文(学術雑誌)

  • Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariate t errors under the Pitman nearness criterion

    Akio Namba, Kazuhiro Ohtani

    in this paper we consider a linear regression model with omitted relevant regressors and multivariate t error terms. The explicit formula for the Pitman nearness criterion of the Stein-rule (SR) estimator relative to the ordinary least squares (OLS) estimator is derived. It is shown numerically that the dominance of the SR estimator over the OLS estimator under the Pitman nearness criterion can be extended to the case of the multivariate t error distribution when the specification error is not severe. It is also shown that the dominance of the SR estimator over the OLS estimator cannot be extended to the case of the multivariate t error distribution when the specification error is severe.

    SPRINGER, 2007年01月, STATISTICAL PAPERS, 48 (1), 151 - 162, 英語

    [査読有り]

    研究論文(学術雑誌)

  • A Namba, K Ohtani

    Consider a linear regression model with some relevant regressors are unobservable. In such a situation, we estimate the model by using the proxy variables as regressors or by simply omitting the relevant regressors. In this paper, we derive the explicit formula of the predictive mean squared error (PMSE) of the Stein-rule (SR) estimator and the positive-part Stein-rule (PSR) estimator for the regression coefficients when the proxy variables are used. We examine the effect of using the proxy variables on the risk performances of the SR and PSR estimators. It is shown analytically that the PSR estimator dominates the SR estimator even when the proxy variables are used. Also, our numerical results show that using the proxy variables is preferable to omitting the relevant regressors. (C) 2005 Elsevier B.V. All rights reserved.

    ELSEVIER SCIENCE BV, 2006年05月, STATISTICS & PROBABILITY LETTERS, 76 (9), 898 - 906, 英語

    [査読有り]

    研究論文(学術雑誌)

  • Akio Namba, Kazuhiro Ohtani

    In this paper we consider a linear regression model with omitted relevant regressors and multivariatet error terms. The explicit formula for the Pitman nearness criterion of the Stein-rule (SR) estimator relative to the ordinary least squares (OLS) estimator is derived. It is shown numerically that the dominance of the SR estimator over the OLS estimator under the Pitman nearness criterion can be extended to the case of the multivariatet error distribution when the specification error is not severe. It is also shown that the dominance of the SR estimator over the OLS estimator cannot be extended to the case of the multivariatet error distribution when the specification error is severe. © Springer-Verlag 2006.

    2007年01月, Statistical Papers, 48 (1), 151 - 162, 英語

    [査読有り]

    研究論文(学術雑誌)

  • スタイン型推定量の平均自乗誤差に関するパラドックス

    難波 明生

    2005年01月, 国民経済雑誌, 191巻 (第1号), 89 - 96, 日本語

    研究論文(学術雑誌)

  • シミュレーションによる疑似最尤法および経験尤度に基づく方法の比較

    難波 明生

    2004年09月, 国民経済雑誌, 190巻 (3号), 89 - 100, 日本語

    研究論文(学術雑誌)

  • A Namba

    In this paper we consider to test the hypothesis using the empirical likelihood. To calculate the critical value of the test, two bootstrap methods are applied. Our simulation results indicate that the bootstrap methods improve the small sample property of the test.

    MARCEL DEKKER INC, 2004年, COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 33 (1), 99 - 108, 英語

    [査読有り]

    研究論文(学術雑誌)

  • A Namba

    In this paper we consider the double k-class estimator which incorporates the Stein variance estimator. This estimator is called the SVKK estimator. We derive the explicit formula for the mean squared error (MSE) of the SVKK estimator for each individual regression coefficient. It is shown analytically that the MSE performance of the Stein-rule estimator for each individual regression coefficient can be improved by utilizing the Stein variance estimator. Also, MSE's of several estimators included in a family of the SVKK estimators are compared by numerical evaluations.

    SPRINGER-VERLAG, 2003年01月, STATISTICAL PAPERS, 44 (1), 117 - 124, 英語

    [査読有り]

    研究論文(学術雑誌)

  • A Namba

    In this paper, we consider a regression model with omitted relevant regressors and a general family of shrinkage estimators of regression coefficients. We derive the formula for the predictive mean squared error (PMSE) of the estimators. It is shown analytically that the positive-part shrinkage estimator dominates the ordinary shrinkage estimator even when there are omitted relevant regressors. Also, as an example, our result is applied to the double k-class estimator. (C) 2003 Elsevier Science B.V. All rights reserved.

    ELSEVIER SCIENCE BV, 2003年07月, STATISTICS & PROBABILITY LETTERS, 63 (4), 375 - 385, 英語

    [査読有り]

    研究論文(学術雑誌)

  • F Akdeniz, A Namba

    In this paper, using the asymmetric LINEX loss function we derive and numerically evaluate the risk function of the new feasible ridge regression estimator. We also examine the risk performance of this estimator when the LINEX loss function is used.

    TAYLOR & FRANCIS LTD, 2003年04月, JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 73 (4), 303 - 310, 英語

    [査読有り]

    研究論文(学術雑誌)

  • MSE dominance of the PT-2SHI estimator over the positive-part Stein-rule estimator in regression

    A Namba

    In this paper, we consider a heterogeneous pre-test estimator which consists of the two-stage hierarchial information (2SHI) estimator and the Stein-rule (SR) estimator. This estimator is called the pre-test 2SHI (PT-2SHI) estimator. It is shown analytically that the PT-2SHI estimator dominates the SR estimator in terms of mean squared error (MSE) if the parameter values in the PT-2SHI estimator are chosen appropriately. Moreover, our numerical results show that the appropriate PT-2SHI estimator dominates the positive-part Stein-rule (PSR) estimator. (C) 2000 Elsevier Science B.V. All rights reserved.

    ELSEVIER SCIENCE BV, 2000年08月, JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 89 (1-2), 175 - 185, 英語

    [査読有り]

    研究論文(学術雑誌)

書籍等出版物

  • 計量経済学講義

    難波 明生

    単著, 日本評論社, 2015年09月, 日本語

    教科書・概説・概論

講演・口頭発表等

  • MSE performance of the weighted average estimators consisting of shrinkage estimators

    難波 明生, 大谷一博

    Ecosta 2017, 2017年06月, 英語, 香港科技大学, 国際会議

    [招待有り]

    口頭発表(招待・特別)

  • A Sufficient Condition For The MSE Dominance Of The Positive-Part Shrinkage Estimator When Each Individual Regression Coefficient Is Estimated In a Misspecified Linear Regression Model

    難波 明生, 徐海峰

    Econometric Seminar, 2016年10月, 英語, University of California-Riverside, 国際会議

    口頭発表(一般)

  • Simulations on the Wild Bootstrap Tests for a Structural Break when the Break Point is Unknown and the Variance Changes with the Break

    難波 明生

    The 1st Annual International Conference on Applied Econometrics in Hawaii, 2015年11月, 英語, Ala Moana Hotel, Hawaii, 国際会議

    口頭発表(一般)

共同研究・競争的資金等の研究課題