下津 克己
略歴
| 平成5年3月 | 東京大学教養学部卒業 |
| 平成12年9月 | エセックス大学経済学部 講師 |
| 平成12年12月 | イェール大学経済学部 Ph.D. |
| 平成15年7月 | クイーンズ大学経済学部 助教授 |
| 平成20年6月 | クイーンズ大学経済学部 准教授 |
| 平成21年4月 | 一橋大学大学院経済学研究科 教授 |
| 平成24年4月 | 東京大学大学院経済学研究科 教授 |
現在の研究分野
計量経済学、統計学
研究課題
時系列分析、構造的計量経済モデルの識別ならびに推定、有限混合モデルの識別ならびに推定を研究課題としている。
時系列分析に関しては、長期記憶性パラメータのセミパラメトリック推定、長期記憶性を持つ時系列データにおける共和分解析などを研究してきた。
構造的計量経済モデルに関しては、動学的離散選択モデルのノンパラメトリック識別可能性、ブートストラップ法の構造的計量経済モデルへの応用、動学的離散選択モデルの逐次的推定法などを研究してきた。
研究業績
論文 - 2010年以降の研究業績
- “Inference in Predictive Quantile Regressions,” with Alex Maynard and Nina Kuriyama, Journal of Econometrics 245, October 2024, 105875.
- “Identification of Regression Models with a Misclassified and Endogenous Binary Regressor,” with Hiroyuki Kasahara, Econometric Theory 38, December 2022, 1117-1139.
- “Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models,” with Hiroyuki Kasahara, Journal of Econometrics 208, February 2019, 442-467.
- “Estimation of Discrete Choice Dynamic Programming Models,” with Hiroyuki Kasahara, Japanese Economic Review 69, March 2018, 28-58.
- “Testing the Number of Components in Normal Mixture Regression Models,” with Hiroyuki Kasahara, Journal of the American Statistical Association 110, December 2015, 1632-45.
- “Modified Quasi-Likelihood Ratio Test for Regime Switching,” with Hiroyuki Kasahara and Tatsuyoshi Okimoto, Japanese Economic Review 65, March 2014, 25-41.
- “Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003,” with Hiroyuki Kasahara and Michio Suzuki, Journal of the Japanese and International Economies 31, March 2014, 72-97.
- “Nonparametric identification and estimation of the number of components in multivariate mixtures,” with Hiroyuki Kasahara, Journal of the Royal Statistical Society: Series B 76, January 2014, 97-111.
- “Sequential estimation of structural models with a fixed point constraint,” with Hiroyuki Kasahara, Econometrica 80, September 2012, 2303-2319.
- “Exact local Whittle estimation of fractionally cointegrated systems,” Journal of Econometrics 169, August 2012, 266-278.
- “Empirical likelihood block bootstrapping,” with Jason Allen and Allan W. Gregory, Journal of Econometrics 161, April 2011, 110-121.
- “Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity,” with Tatsuyoshi Okimoto, Journal of the Japanese and International Economies 24, September 2010, 395-411.
- “Exact local Whittle estimation of fractional integration with unknown mean and time trend,” Econometric Theory 26, April 2010, 501-540.
論文 - 2000-2009年の研究業績
- “Improvement in finite sample properties of the Hansen-Jagannathan distance test,” with Yu Ren, Journal of Empirical Finance 16, June 2009, 483-506.
- “Nonparametric identification of finite mixture models of dynamic discrete choices,” with Hiroyuki Kasahara, Econometrica 77, January 2009, 135-175.
- “Covariance-based orthogonality tests for regressors with unknown persistence,” with Alex Maynard, Econometric Theory 25, January 2009, 63-116.
- “Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models,” with Hiroyuki Kasahara, Journal of Econometrics 146, September 2008, 92-106.
- “Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach,” with Morten Ø. Nielsen, Journal of Econometrics 141, December 2007, 574-596.
- “Gaussian semiparametric estimation of multivariate fractionally integrated processes,” Journal of Econometrics 137, April 2007, 277-310.
- “Local Whittle estimation of fractional integration and some of its variants,” with Peter C.B. Phillips, Journal of Econometrics 103, February 2006, 209-233.
- “Exact local Whittle estimation of fractional integration,” with Peter C.B. Phillips, Annals of Statistics 33, August 2005, 1890-1933.
- “Local Whittle estimation in nonstationary and unit root cases,” with Peter C.B. Phillips, Annals of Statistics 32, April 2004, 656-692.
- “Pooled log periodogram regression,” with Peter C.B. Phillips, Journal of Time Series Analysis 23, January 2002, 57-93.
学会活動・受賞等
所属学会
- 日本統計学会
- 日本経済学会
- Econometric Society
- Institute of Mathematical Statistics
受賞等
- 2024年 Econometric Society フェロー
- 2014年 日本統計学会 研究業績賞
- 2013年 日本経済学会 中原賞
- 2010年 Arnold Zellner Award for the most significant theoretical paper published in the Journal of Econometrics in 2008 and 2009. Given to “Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models,” (with Hiroyuki Kasahara), Journal of Econometrics 146, September 2008, 92-106.