Updated on 2022/05/25

写真a

 
ARAI, Yoichi
 
Affiliation
Faculty of Social Sciences, School of Social Sciences
Job title
Associate Professor

Research Institute

  • 2021
    -
    2022

    データ科学センター   兼任センター員

Degree

  • University of California, San Diego   Ph.D. (Economics)

Professional Memberships

  •  
     
     

    Japan Statistical Society

  •  
     
     

    Japanese Economic Association

  •  
     
     

    American Economic Association

  •  
     
     

    Econometric Society

 

Research Areas

  • Economic statistics

Research Interests

  • Econometrics, Applied Econometrics

Papers

  • Testing identifying assumptions in fuzzy regression discontinuity designs

    Yoichi Arai, Yu-Chin Hsu, Toru Kitagawa, Ismael Mourifié, Yuanyuan Wan

    Quantitative Economics   13 ( 1 ) 1 - 28  2022.01  [Refereed]

     View Summary

    We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD‐validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the cut‐off. We show that this new characterization exploits all of the information in the data that is useful for detecting violations of FRD‐validity. Our approach differs from and complements existing approaches that test continuity of the distributions of running variables and baseline covariates at the cut‐off in that we focus on the distribution of the observed outcome and treatment status. We show that the proposed test has appealing statistical properties. It controls size in a large sample setting uniformly over a large class of data generating processes, is consistent against all fixed alternatives, and has non‐trivial power against some local alternatives. We apply our test to evaluate the validity of two FRD designs. The test does not reject FRD‐validity in the class size design studied by Angrist and Lavy (1999) but rejects it in the insurance subsidy design for poor households in Colombia studied by Miller, Pinto, and Vera‐Hernández (2013) for some outcome variables. Existing density continuity tests suggest the opposite in each of the two cases.

    DOI

  • Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator

    Yoichi Arai, Hidehiko Ichimura

    Quantitative Economics   9 ( 1 ) 441 - 482  2018.03  [Refereed]

     View Summary

    A new bandwidth selection method that uses different bandwidths for the local linear regression estimators on the left and the right of the cut-off point is proposed for the sharp regression discontinuity design estimator of the average treatment effect at the cut-off point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection method is shown to be smaller than other bandwidth selection methods proposed in the literature. The approach that the bandwidth selection method is based on is also applied to an estimator that exploits the sharp regression kink design. Reliable confidence intervals compatible with both of the proposed bandwidth selection methods are also proposed as in the work of Calonico, Cattaneo, and Titiunik (2014a). An extensive simulation study shows that the proposed method's performances for the samples sizes 500 and 2000 closely match the theoretical predictions. Our simulation study also shows that the common practice of halving and doubling an optimal bandwidth for sensitivity check can be unreliable.

    DOI

  • TESTING FOR LINEARITY IN REGRESSIONS WITH I(1) PROCESSES

    Yoichi Arai

    HITOTSUBASHI JOURNAL OF ECONOMICS   57 ( 1 ) 111 - 138  2016.06  [Refereed]

     View Summary

    We propose a generalized version of the RESET test for linearity in regressions with I(1) processes against various nonlinear alternatives and no cointegration. The proposed test statistic for linearity is given by the Wald statistic and its limiting distribution under the null hypothesis is shown to be a chi(2) distribution with a "leads and lags" estimation technique. We show that the test is consistent against a class of nonlinear alternatives and no cointegration. Finite-sample simulations show that the empirical size is close to the nominal one and the test succeeds in detecting both nonlinearity and no cointegration.

    DOI

  • Optimal bandwidth selection for the fuzzy regression discontinuity estimator

    Yoichi Arai, Hidehiko Ichimura

    ECONOMICS LETTERS   141   103 - 106  2016.04  [Refereed]

     View Summary

    A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses two bandwidths simultaneously, one for each side of the cut-off point by using a criterion based on the estimated asymptotic mean square error taking into account a second-order bias term. A simulation study demonstrates the usefulness of the proposed method. (C) 2016 Elsevier B.V. All rights reserved.

    DOI

  • The educational upgrading of Japanese youth, 1982-2007: Are all Japanese youth ready for structural reforms?

    Yoichi Arai, Hidehiko Ichimura, Daiji Kawaguchi

    JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES   37   100 - 126  2015.09  [Refereed]

     View Summary

    Are all Japanese youth ready for the structural reforms proposed as a supply-side policy of Abenomics? To answer this question, we assess how well Japanese youth have coped with the labor market's long-term structural changes, induced primarily by deepening interdependence with emerging economies and rapid technological progress over the last three decades. We examine the role of educational upgrading on the labor-market outcomes of youth between the ages of 25 and 29, using six waves of micro data from the Employment Status Survey spanning from 1982 to 2007. The analysis demonstrates that the demand growth for skilled labor relative to unskilled labor has been met by the educational upgrading of youth through the expansion of tertiary education, including education in vocational schools. Youth left behind the trend of educational upgrading, however, have suffered significantly from decreasing employment opportunities and deteriorated working conditions. National Graduate Institute for Policy Studies (GRIPS), Roppongi 7-22-1, Minato-ku, Tokyo 106-8677, Japan; Graduate School of Economics, University of Tokyo, Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033, Japan; Graduate School of Economics, Hitotsubashi University, Naka 2-1, Kunitachi-shi, Tokyo 186-8601, Japan. (C) 2015 Elsevier Inc. All rights reserved.

    DOI

  • Test for the null hypothesis of cointegration with reduced size distortion

    Eiji Kurozumi, Yoichi Arai

    JOURNAL OF TIME SERIES ANALYSIS   29 ( 3 ) 476 - 500  2008.05  [Refereed]

     View Summary

    This article considers a single-equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the local asymptotic power functions and compare them with the standard residual-based test, and show that the LBIU test is more powerful in a wide range of local alternatives. Then, we conduct a Monte Carlo simulation to investigate the finite sample properties of the tests and show that the LBIU test outperforms the residual-based test in terms of both size and power. The advantage of the LBIU test is particularly patent when the error is highly autocorrelated. Furthermore, we point out that finite sample performance of existing tests is largely affected by the initial value condition while our tests are immune to it. We propose a simple transformation of data that resolves the problem in the existing tests.

    DOI

  • Efficient estimation and inference in cointegrating regressions with structural change

    Eiji Kurozumi, Yoichi Arai

    JOURNAL OF TIME SERIES ANALYSIS   28 ( 4 ) 545 - 575  2007.07  [Refereed]

     View Summary

    This paper investigates an efficient estimation method for a cointegrating regression model with structural change. Our proposal is that we first estimate the break point by minimizing the sum of squared residuals and then, by replacing the break fraction with the estimated one, we estimate the regression model by the canonical cointegrating regression (CCR) method proposed by Park [Econometrica (1992) Vol. 60, pp. 119-143]. We show that the estimator of the break fraction has the same convergence rate as obtained in Bai, Lumsdaine and Stock [Review of Economic Studies (1998) Vol. 65, pp. 395-432] and that the CCR estimator with the estimated break fraction has the same asymptotic property as the estimator with the known break point. However, we also show that our method breaks down when the magnitude of structural change is very small. Simulation experiments reveal how the finite sample distribution approaches the limiting distribution as the magnitude of the break and or the sample size increases.

    DOI

  • Testing for the null hypothesis of cointegration with a structural break

    Yoichi Arai, Eiji Kurozumi

    ECONOMETRIC REVIEWS   26 ( 6 ) 705 - 739  2007  [Refereed]

     View Summary

    In this paper we propose residual-based tests for the null hypothesis of cointegration with a structural break against the alternative of no cointegration. The Lagrange Multiplier (LM) test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is known. Then the test statistic is extended to deal with a structural break Of unknown timing. The test statistic, a Plug in version of the test statistic for known timing, replaces the true break point by the estimated one. We show the limiting Properties of the test statistic under the null as well as the alternative. Critical values are calculated for the tests by simulation methods. Finite-sample simulations show that the empirical size of the test is close to the nominal one unless the regression error is very persistent and that the test rejects the null when no cointegrating relationship with a structural break is present. We provide empirical examples based on the present-value model, the term structure model, and the money-output relationship model.

    DOI

  • Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems

    Y Arai, T Yamamoto

    ECONOMICS LETTERS   67 ( 3 ) 261 - 271  2000.06  [Refereed]

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    We show an alternative representation for the asymptotic distributions of impulse responses in cointegrated VAR systems. Our representation has the advantage that the asymptotic variances are convergent at long horizons. (C) 2000 Elsevier Science S.A. All rights reserved.

    DOI

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Books and Other Publications

  • Multiple Regression and Matching Estimator

    Yoichi Arai

    Japanese Journal of Labor Studies  2015.04

  • 経済時系列分析ハンドブック 共和分分析

    刈屋武昭, 前川功一, 矢島美寛, 福地純一郎, 川﨑能典( Part: Contributor)

    朝倉書店  2012.10

  • Monetary Policy in the Great Stagnation

    Yoichi Arai, Takeo Hoshi( Part: Contributor)

    MIT Press  2006.06 ISBN: 9780262083478

Research Projects

  • 形状制約を用いたノンパラメトリック、セミパラメトリック推定の理論と応用

    Project Year :

    2020.04
    -
    2023.03
     

  • Econometrics for Policy Evaluation and its Application

    Project Year :

    2015.04
    -
    2019.03
     

     View Summary

    We consider a problem of policy evaluation based on semiparametric difference-in-differences approaches. The semiparametric approaches exploit partially linear models. We discuss the identification conditions of the policy effect and propose two estimators. One estimator is based on the kernel method and the other on the Spline method. The asymptotic properties of the proposed estimators are developed. We also propose procedures for statistical inference based on the asymptotic properties and the bootstrap method. Then we apply the proposed approach to estimate the effect of energy conservation appeal to electricity demand after the earthquake in 2011

  • ミクロ計量経済分析手法の開発とその実践

    Project Year :

    2014.04
    -
    2018.03
     

     View Summary

    本年度は4月にシカゴ連銀でのRobert LaLonde教授記念会議へ参加し現在進行中のプログラム評価手法について議論に参加した。またHarvard大学David Wise教授主催のNBER会議に参加し、“Challenges in Controlling Medicare Spending: Treating Highly Complex Patients” by T. MaCurdy and J. Battacharyaへのコメントを行った。現在東京大学医学部康永教授等と共に日本のデータを用いて、関連研究を行っている。<BR>以上本年度実施した研究であるが、特別推進研究との重複を避けるため、本研究における、(1)個票データの質に関する分析、(2)実証分析手法の開発、(3)その実践としての実証分析という三方面は、より拡大したかたちで、特別推進における研究として実現していくこととする。<BR>具体的には(1)個票データの質に関する分析については日本におけるパネルデータの質の検証を行う。(2)実証分析手法の開発については本基盤研究で行ってきた政策評価手法の開発を引き続き行うと共に、より構造推定に即した実証分析手法の開発も行う。(3)その実践としての実証分析としては特別推進研究の課題である、多様な個人を前提とする政策評価型国民移転勘定を創成し、それを用いて、少子高齢化対策の評価に関する研究を行っていく。27年度が最終年度であるため、記入しない。27年度が最終年度であるため、記入しない

  • Econometric Analysis of Program Evaluation and Its Application to Unemployment Insurance Policy

    Project Year :

    2011.04
    -
    2015.03
     

     View Summary

    In this research, we developed econometric methods for policy or program evaluation. Policy or program evaluation is to study, for example, the effect of unemployment benefit on unemployment duration. The problem considered in this research is the framework where implementation or eligibility of economic policies depends on a certain variable. For example, the eligibility of unemployment benefit typically depends on the duration of employment of the previous job. To estimate the policy effect in this framework, we proposed a novel estimation method. We also demonstrated that the proposed method outperforms the existing method. We applied the proposed method to investigate the effect of various economic policies

  • The impact of labor market policy interventions on labor market outcomes

    Project Year :

    2011.04
    -
    2015.03
     

     View Summary

    This study evaluates the impact of labor market policies on its outcomes. The impacts of work hour standard and minimum wages are examined. Regarding the work hour standard, analysis of the survey on time use and leisure activities reveals that the reduction of work hour standard from the late 1980s to the middle 1990s reduced hours worked and increased leisure hours. Regarding minimum wage, the increase in region minimum wage induced by the 2007 revision of minimum wage act reduced the employment rate of teenagers

  • New methods for Program Evaluation: Application to issues related to aging

    Project Year :

    2010.04
    -
    2014.03
     

     View Summary

    Methods: (1) The standard matching method only allows selection on observables. A new method that utilizes an instrumental variable to allow selection on unobservables is developed. (2) A general method to compute asymptotic distribution for estimators, which includes the method in (1), is developed. In particular, the computed asymptotic distribution captures an impact of using mis-specified model. Other methodological studies are also carried out but for brevity, they are not discussed here.Studies related to aging issues: (1) Panel data are collected twice in Naha making the total length of panel up to 3 in Naha. (2) Combining the data in Naha with other six municipalities, retirement behavior is studied. In particular impacts of economic aspects, health aspects, and family and social relationships are investigated. Other empirical studies are also carried out but for brevity, they are not discussed here

  • 共和分の存在するシステムにおける構造変化の検定理論

     View Summary

    平成18年度においては「構造変化を伴う共和分関係が存在する場合」を帰無仮説に対して「共和分関係が存在しない」という対立仮説に対する検定理論の研究を行った。平成19年度においてはここまでの研究において厳密に導出された検定理論に基づいて実際にデータを用いて実証分析を考えた。まずは近年の日本経済におけるGDPとマネーサプライあるいはマネタリーベースの間の関係に構造変化を伴う共和分関係が存在するかを検証した。近年の金融政策、特にゼロ金利政策の下ではGDPとマネーサプライの関係が把握するのが困難になっている。特に金融政策を遂行する日本銀行などは量的緩和政策を導入する以前は、その関係がないと明確に主張しマネーサプライを十分に増加させようとしていなかった。しかしGDPとマネーサプライの間に構造変化を伴う共和分関係が存在していると考えるとGDPとマネーサプライの関係は弱くなっているであろうが依然として存在すると推測できる。この状況の下では日本銀行はマッシブにマネーサプライを増加させるする努力をするべきだったという事になる。しかしこの場合においても日本銀行はマネーサプライを直接増減できる訳ではないのでマネーサプライとマネタリーベースの間の関係を明らかにする事も重要となる。以上の推論を提案された検定理論を下に検証した。そして1990年代から2007年までの月次、四半期データを用いて上の推論を統計的に裏付けることができた

  • Econometrics Theory of Program or Policy Evaluation using Time Series Data with Continuous Policy Variables and its Applications

     View Summary

    In this project, we developed econometric methods for policy evaluation when a policy variable is continuous. The proposed methods enable us to analyze problems using time series data as well as cross-sectional data. We applied the proposed methods to evaluate the effect of the foreign exchange market intervention

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Specific Research

  • 2011年の東日本大震災後の節電要請の政策効果分析

    2019   市村英彦, 川口大司

     View Summary

    We examine the effects of a government electricity conservation campaign on household electricity consumption in a non-experimental setting. Before the Fukushima nuclear accident in 2011, one-third of electricity was generated by nuclear power plants in Japan, but all the plants had shut down by 2013 for mandatory regular checkups. To meet severe supply constraints without increasing the price, the government ran a massive conservation campaign with explicit targets by electric company districts. Exploiting the differential timing of the pre-determined checkup cycle and the heterogeneous dependence on nuclear power generation in the pre-accident period by the electric company districts, we estimate the impact of the target on household electricity demand. We also estimate the price elasticity exploiting the price increase that occurred with a time lag. We show that increasing the conservation target by 1 percentage point reduced the consumption by about 0.4\%, whereas the price elasticity was around 0.3. Households with extra electricity usage complied more strongly with the conservation request while the responses were uniform across income groups.

  • 政策評価のための計量経済学、理論と実証

    2019  

     View Summary

    本研究においては差分の差分法を中心とした政策評価の計量経済学の理論的開発とそれらを用いて実証分析を行うことである。政策が内生的に決定され、政策の効果を含む様々な説明変数が非線形的に結果変数に影響を与える状況におけるセミパラメトリックな政策評価の方法を提案した。キュービックスプラインを伴う高次元モデルにに基づく推定方法を提案し、提案された推定量の漸近的な性質の導出を行った。提案された方法を用いて節電要請が電力需要に与える影響の分析を行った。

  • Fuzzy Regression Discontinuity Designにおける識別条件の検定

    2018   Yu-Chin Hsu, Toru Kitagwa, Ismael Mourifie, Yuanyuan Wan

     View Summary

    本研究課題においてはファジー回帰不連続分析における仮定の妥当性を検証するための新しい検定方法を提案した。まず回帰不連続分析において平均政策効果を識別するための仮定より導かれる結果変数と政策変数の同時分布に関する不等号制約を導出した。その不等号制約は仮定の妥当性を検証するためにデータが持っている情報を最大限用いていることも示した。本アプローチは、操作変数の情報のみを用いる既存の検定とは異なり、結果変数と政策変数の情報も用いることに大きな違いがある。そして、提案された検定方法は帰無仮説の下でも対立仮説の下でも優れた統計的な性質を持っていることも示した。そして、本課題の検定方法を用いて、実際にファジー回帰不連続分析のフレームワークを用いて分析が行われた二つの事例を検証した。

 

Syllabus

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Committee Memberships

  • 2017.01
    -
    2017.09

    日本経済学会 秋季大会  プログラム委員

  • 2016.01
    -
    2016.09

    日本経済学会 秋季大会  プログラム委員

  • 2015.05
     
     

    International Symposium on Econometric Theory and Applications (SETA)  プログラム委員

  • 2009.07
    -
    2009.08

    International Symposium on Econometric Theory and Applications (SETA)  プログラム委員

  • 2006.04
    -
    2008.03

    Japan Statistical Society  Associate Editor

  • 2006.04
    -
    2008.03

    日本統計学会  和文誌編集委員

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