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Estimating derivatives in nonseparable models with limited dependent variables

[PDF] from ucl.ac.uk
JG Altonji, H Ichimura… - 2008 - nber.org
We present a simple way to estimate the effects of changes in a vector of observable
variables X on a limited dependent variable Y when Y is a general nonseparable function of
X and unobservables. We treat models in which Y is censored from above or below or ...
Cited by 35 - Related articles - Library Search - All 38 versions

Generalized empirical likelihood inference for nonlinear and time series models under weak identification

Full text - MIT Libraries
T Otsu - Econometric Theory, 2006 - Cambridge Univ Press
Abstract This paper studies robust inference methods for nonlinear moment restriction
models with weakly identified parameters in time series contexts. Our methods are based on
generalized empirical likelihood with kernel smoothing. The proposed test statistics, which ...
Cited by 34 - Related articles - BL Direct - All 12 versions

Conditional empirical likelihood estimation and inference for quantile regression models

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T Otsu - Journal of Econometrics, 2008 - Elsevier
This paper considers two empirical likelihood-based estimation, inference, and specification
testing methods for quantile regression models. First, we apply the method of conditional
empirical likelihood (CEL) by Kitamura et al.[2004. Empirical likelihood-based inference in ...
Cited by 16 - Related articles - All 8 versions

[CITATION] Empirical likelihood for quantile regression

T Otsu - University of Wisconsin, Madison Department of …, 2003
Cited by 11 - Related articles - All 8 versions

[CITATION] Generalized empirical likelihood inference under weak identification

T Otsu - Forthcoming Econometric Theory, 2003
Cited by 10 - Related articles - All 2 versions

[PDF] Minimax estimation and testing for moment condition models via large deviations

[PDF] from hit-u.ac.jp
Y Kitamura, T Otsu - Manuscript, Department of Economics, Yale …, 2005 - econ.hit-u.ac.jp
Abstract. This paper studies asymptotically optimal estimation and testing procedures for
moment condition models using the theory of large deviations (LD). Minimax risk estimation
and testing are discussed in details. The aim of the paper is three-fold. First, it studies a ...
Cited by 9 - Related articles - View as HTML - All 14 versions

Penalized empirical likelihood estimation of semiparametric models

Full text - MIT Libraries
T Otsu - Journal of Multivariate Analysis, 2007 - Elsevier
We propose an empirical likelihood-based estimation method for conditional estimating
equations containing unknown functions, which can be applied for various semiparametric
models. The proposed method is based on the methods of conditional empirical likelihood ...
Cited by 7 - Related articles - All 9 versions

[PDF] Large deviation optimal inference for set identified moment inequality models

[PDF] from yale.edu
T Otsu - Unpublished working paper, Cowles Foundation, Yale …, 2006 - econ.yale.edu
Abstract This paper proposes an optimal property of an empirical likelihood# based set
inference method for set identified moment inequality models. The optimality criterion is
based on large deviation errors of confidence sets for identified sets of parameters. In ...
Cited by 6 - Related articles - View as HTML - All 2 versions

[BOOK] Robustness, Infinitesimal Neighborhoods, and Moment Restrictions

[PDF] from yale.edu
Y Kitamura, T Otsu… - 2009 - papers.ssrn.com
Abstract: This paper is concerned with robust estimation under moment restrictions. A
moment restriction model is semiparametric and distribution-free, therefore it imposes mild
assumptions. Yet it is reasonable to expect that the probability law of observations may ...
Cited by 6 - Related articles - Get it from MIT Libraries - Library Search - All 34 versions

[CITATION] Penalized empirical likelihood estimation of conditional moment restriction models with unknown functions

T Otsu - Department of Economics, University of Wisconsin $ …, 2003
Cited by 6 - Related articles - All 3 versions

Empirical likelihood estimation of conditional moment restriction models with unknown functions

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Full text - MIT Libraries
T Otsu - Econometric Theory, 2010 - Cambridge Univ Press
This paper proposes an empirical likelihood-based estimation method for conditional
moment restriction models with unknown functions, which include several semiparametric
models. Our estimator is called the sieve conditional empirical likelihood (SCEL) estimator ...
Cited by 5 - Related articles - All 7 versions

Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood

[PDF] from snu.ac.kr
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T Otsu… - Econometric Theory, 2010 - Cambridge Univ Press
We propose nonnested tests for competing conditional moment restriction models using the
method of conditional empirical likelihood, recently developed by Kitamura, Tripathi, and
Ahn (2004) and Zhang and Gijbels (2003). To define the test statistics, we use the implied ...
Cited by 5 - Related articles - BL Direct - All 22 versions

[CITATION] Penalized Empirical Likelihood Estimation of Conditional Moment Restriction Models With Unknown Functions," University of Wisconsin unpublished …

T Otsu - 2003
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Empirical likelihood for regression discontinuity design

[PDF] from yale.edu
T Otsu… - Cowles Foundation Discussion Paper No. 1799, 2011 - papers.ssrn.com
Abstract: This paper proposes empirical likelihood based inference methods for causal
effects identified from regression discontinuity designs. We consider both the sharp and
fuzzy regression discontinuity designs and treat the regression functions as nonparametric ...
Cited by 4 - Related articles - All 11 versions

[PDF] Local GMM estimation of time series models with conditional moment restrictions

[PDF] from concordia.ca
N Gospodinov… - forthcoming Journal of Econometrics, 2009 - alcor.concordia.ca
Abstract This paper investigates statistical properties of the local generalized method of
moments (LGMM) estimator for some time series models defined by conditional moment
restrictions. First, we consider Markov processes with possible conditional ...
Cited by 4 - Related articles - View as HTML - All 6 versions

[PDF] Hodges-Lehmann optimality for testing moment condition models

[PDF] from stanford.edu
IA Canay, T Otsu - Northwestern University. Manuscript, 2009 - econ-new.stanford.edu
Abstract Economic models typically involve a set of moment conditions. The most widely
used tests of moment condition models are the J-test associated with the generalized
method of moments (GMM) and discrepancy tests associated with the family of ...
Cited by 3 - Related articles - View as HTML - All 13 versions

On Bahadur efficiency of empirical likelihood

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T Otsu - Journal of Econometrics, 2010 - Elsevier
This paper studies the Bahadur efficiency of empirical likelihood for testing moment
condition models. It is shown that under mild regularity conditions, the empirical likelihood
overidentifying restriction test is Bahadur efficient, ie, its p-value attains the fastest ...
Cited by 3 - Related articles - All 14 versions

Optimal experimental design criterion for discriminating semiparametric models

T Otsu - Journal of Statistical Planning and Inference, 2008 - Elsevier
This paper studies the optimal experimental design problem to discriminate two regression
models. Recently, López-Fidalgo et al.[2007. An optimal experimental design criterion for
discriminating between non-normal models. J. Roy. Statist. Soc. B 69, 231–242] extended ...
Cited by 2 - Related articles - Get it from MIT Libraries - All 3 versions

[PDF] Asymptotic optimality of empirical likelihood for selecting moment restrictions

[PDF] from yale.edu
T Otsu - Manuscript. Yale University, 2006 - econ.yale.edu
Abstract This paper studies large deviation optimal properties of the empirical likelihood
sequen# tial testing (ELST) procedures for selecting moment restrictions. Since moment
selection problems have discrete parameter spaces, the Pitman# type local alternative ...
Cited by 2 - Related articles - View as HTML - All 6 versions

[PDF] Robust inference under moment restrictions

[PDF] from 147.46.167.195
Y Kitamura, T Otsu - 2010 - 147.46.167.195
Abstract. Suppose one wishes to test a parametric hypothesis, or to form a confidence
interval for a parameter, in a moment condition model. If the observations may be subject to
measurement errors or other data contamination problems, the validity of conventional ...
Cited by 2 - Related articles - View as HTML - Get it from MIT Libraries - All 9 versions

[PDF] Testing normality against the Laplace distribution

[PDF] from jmasm.com
T Otsu - DOAJ, 2005 - jmasm.com
Some normality test statistics are proposed by testing non-nested hypotheses of the normal
distribution and the Laplace distribution. If the null hypothesis is normal, the proposed non-
nested tests are asymptotically equivalent to Geary's (1935) normality test. The proposed ...
Cited by 1 - Related articles - View as HTML - All 6 versions

Testing for non-nested conditional moment restrictions using unconditional empirical likelihood

[PDF] from psu.edu
T Otsu, MH Seo… - Journal of econometrics, 2011 - Elsevier
We propose non-nested hypothesis tests for conditional moment restriction models based
on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL
probabilities from a sequence of unconditional moment restrictions that contains ...
Cited by 1 - Related articles - Get it from MIT Libraries - All 21 versions

Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit

[PDF] from ubc.ca
V Marmer… - 2009 - papers.ssrn.com
Abstract: Suppose that the econometrician is interested in comparing two misspecified
moment restriction models, where the comparison is performed in terms of some chosen
measure of fit. This paper is concerned with describing an optimal test of the Vuong (1989) ...
Cited by 1 - Related articles - All 36 versions

A Simple Test for Identification in GMM under Conditional Moment Restrictions1

[PDF] from yale.edu
F Bravo, JC Escanciano… - Cowles Foundation Discussion …, 2011 - papers.ssrn.com
Abstract: This paper proposes a simple, fairly general, test for global identification of
unconditional moment restrictions implied from point-identified conditional moment
restrictions. The test is based on the Hausdorff distance between an estimator that is ...
Cited by 1 - Related articles - All 10 versions

Robustness of bootstrap in instrumental variable regression

[PDF] from psu.edu
L Camponovo… - Cowles Foundation Discussion Papers, 2011 - papers.ssrn.com
Abstract: This paper studies robustness of bootstrap inference methods for instrumental
variable regression models. In particular, we compare the uniform weight and implied
probability bootstrap approximations for parameter hypothesis test statistics by applying ...
Cited by 1 - Related articles - All 11 versions

[PDF] Testing for Identification in GMM under Conditional Moment Restrictions

[PDF] from esg.ac.uk
F Bravo, J Escanciano… - 2009 - esg.ac.uk
Abstract: This paper proposes a simple test for global identification of Generalized Method of
Moments (GMM) estimators in models defined by conditional moment restrictions. The test is
based on comparing two estimators, one which is always consistent, even under global ...
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Moderate deviations of generalized method of moments and empirical likelihood estimators

[PDF] from yale.edu
T Otsu - Journal of Multivariate Analysis, 2011 - Elsevier
Abstract This paper studies moderate deviation behaviors of the generalized method of
moments and generalized empirical likelihood estimators for generalized estimating
equations, where the number of equations can be larger than the number of unknown ...
Related articles - Get it from MIT Libraries - All 21 versions

[PDF] A Consistent Test for Identification in GMM under Conditional Moment Restrictions1

[PDF] from queensu.ca
F Bravo, JC Escanciano… - qed.econ.queensu.ca
Abstract: This note proposes a simple, yet consistent, test for global identifi& cation of
Generalized Method of Moments (GMM) estimators in models defined by conditional
moment restrictions. The test is based on the Hausdorff distance between an estimator ...
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[CITATION] Generalized Method of Moments, Empirical Likelihood and Their Recent Developments

T Otsu - 2007
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[BOOK] Optimal Comparison of Misspecified Moment Restriction Models

[PDF] from ucdavis.edu
V Marmer… - 2009 - econ.ucdavis.edu
Abstract This paper considers optimal testing of model comparison hypotheses for
misspecified unconditional moment restriction models. We adopt the generalized Neyman $
Pearson optimality criterion, which focuses on the convergence rates of the type I and II ...
Related articles - View as HTML - Get it from MIT Libraries - Library Search - All 48 versions

Hodges-Lehmann Optimality for Testing Moment

I Canay… - Cowles Foundation Discussion Papers, 2011 - ideas.repec.org
This paper studies the Hodges and Lehmann (1956) optimality of tests in a general setup.
The tests are compared by the exponential rates of growth to one of the power functions
evaluated at a fixed alternative while keeping the asymptotic sizes bounded by some ...
Cached - All 3 versions

[PDF] Effect of small-sample adjustments for Cox test under non-nested linear regression models

[PDF] from accessecon.com
Full text - MIT Libraries
T Otsu - Economics Bulletin, 2004 - accessecon.com
Abstract We consider the effect of Godfrey and Pesaran's (1983) two small− sample
adjustments for the Cox (1961, 1962) non− nested test statistic under linear regression
models. Based on convenient representations of the test statistics in terms of the ...
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[PDF] Nonparametric Extreme Quantile Regression

[PDF] from yale.edu
H Ichimura… - 2008 - aida.econ.yale.edu
Abstract This paper studies the asymptotic properties of the local polynomial extreme
quantile regression estimator, where the quantile converges to zero or one at the same rate
as nδd n with the sample size n, bandwidth δn, and number of regressors d. By using a ...
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On Bartlett correctability of empirical likelihood in generalized power divergence family

[PDF] from yale.edu
L Camponovo… - 2011 - papers.ssrn.com
Abstract: Baggerly (1998) showed that empirical likelihood is the only member in the Cressie-
Read power divergence family to be Bartlett correctable. This paper strengthens Baggerly's
result by showing that in a generalized class of the power divergence family, which ...
Related articles - All 7 versions

Breakdown point theory for implied probability bootstrap

[PDF] from res.org.uk
Full text - MIT Libraries
L Camponovo… - The Econometrics Journal, 2012 - Wiley Online Library
Summary This paper studies robustness of bootstrap inference methods under moment
conditions. In particular, we compare the uniform weight and implied probability bootstraps
by analysing behaviours of the bootstrap quantiles when outliers take arbitrarily large ...
Related articles - All 22 versions

Second-order refinement of empirical likelihood for testing overidentifying restrictions

[PDF] from yale.edu
Y Matsushita, T Otsu - Cowles Foundation Discussion Papers, 2011 - papers.ssrn.com
Abstract: This paper studies second-order properties of the empirical likelihood
overidentifying restriction test to check the validity of moment condition models. We show
that the empirical likelihood test is Bartlett correctable and suggest second-order ...
Related articles - All 10 versions

[PDF] Breakdown theory for implied probability bootstrap

[PDF] from american.edu
L Camponovo… - 2010 - new.american.edu
Abstract This paper studies robustness of bootstrap inference methods under moment
conditions. In particular, we compare the uniform weight and implied probability bootstraps
by analyzing behaviors of the bootstrap quantiles when an outlier takes an arbitrarily large ...
Related articles - View as HTML - All 33 versions

Empirical Likelihood for Nonparametric Additive Models

[PDF] from yale.edu
T Otsu - Cowles Foundation Discussion Papers, 2011 - papers.ssrn.com
Abstract: Nonparametric additive modeling is a fundamental tool for statistical data analysis
which allows flexible functional forms for conditional mean or quantile functions but avoids
the curse of dimensionality for fully nonparametric methods induced by high-dimensional ...
Related articles - All 10 versions

Hodges-Lehmann Optimality for Testing Moment Conditions

[PDF] from psu.edu
I Canay… - 2011 - papers.ssrn.com
Abstract: This paper studies the Hodges and Lehmann (1956) optimality of tests in a general
setup. The tests are compared by the exponential rates of growth to one of the power
functions evaluated at a fixed alternative while keeping the asymptotic sizes bounded by ...
Related articles - All 7 versions

[PDF] Nonparametric Intermediate Order Regression Quantiles

[PDF] from yale.edu
JG Altonji, H Ichimura… - 2008 - econ.yale.edu
Abstract This paper studies nonparametric estimation of d-dimensional conditional quantile
functions and their derivatives in the tails. We investigate asymptotic properties of the local
and global nonparametric quantile regression estimators by Chaudhuri (1991a, b), ...
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Large deviation asymptotics for statistical treatment rules

Full text - MIT Libraries
T Otsu - Economics Letters, 2008 - Elsevier
This note applies large deviation-based optimality theory to evaluate treatment rules for
treatment assignment problems. We find nearly optimal treatment rules whose asymptotic
maximum large deviation risks can be arbitrary close to the corresponding minimax ...
Related articles - All 6 versions

[CITATION] Empirical likelihood in econometrics

T Otsu - 2004 - en.scientificcommons.org
Publikationsansicht. 35287403. Empirical likelihood in econometrics / (2004). Otsu, Taisuke.
Abstract. Thesis (Ph. D.)--University of Wisconsin--Madison, 2004.. Includes bibliographical
references (p. 169-179). Also available on the Internet. Details der Publikation. ...
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[CITATION] On Bartlett Correction on Empirical Likelihood in Generalized Power Divergence Family

L Camponovo… - 2012 - alexandria.unisg.ch
... On Bartlett Correction on Empirical Likelihood in Generalized Power Divergence Family. Lorenzo
Camponovo & Taisuke Otsu. Volltext etc. Volltext nicht hinterlegt. Kurzfassung, Typ, Arbeitspapier
(Englisch). Schlagwörter (Tags), Erscheinungsdatum, 2012. Verlag, SSRN. ...
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[CITATION] Robustness of Bootstrap in Instrumental Variable Regression Model

L Camponovo… - 2012 - alexandria.unisg.ch
Page 1. Robustness of Bootstrap in Instrumental Variable Regression
Model Lorenzo Camponovo & Taisuke Otsu ...
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[CITATION] Topics in Econometrics: Testing for Non-nested Conditional Moment Restrictions via Conditional Empirical Likelihood

T Otsu… - 춘계학술대회, 2005 - papersearch.net
... 발행기관, 한국통계학회. - 발행정보, 춘계학술대회 , 2006 권 , 단일호 , Startpage 24 , Endpage
24 , Totalpage 1. - 저자, ( Taisuke Otsu ) , 황윤재 ( Yoon Jae Whang ). - 가격, 1,000 원. - 발행년도,
2005. - 주제키워드, 입력된 주제키워드가 없습니다. - 초록, 입력된 초록이 없습니다. ...
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