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An information-theoretic alternative to generalized method of moments estimation

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Y Kitamura… - Econometrica: Journal of the Econometric Society, 1997 - JSTOR
While optimally weighted GMM estimation has desirable large sample properties, its small
sample performance is poor in some applications. We propose a computationally simple
alternative, for weakly dependent data generating mechanisms, based on minimization of ...
Cited by 336 - Related articles - Get it from MIT Libraries - BL Direct - All 15 versions

Empirical likelihood methods with weakly dependent processes

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Y Kitamura - The Annals of Statistics, 1997 - projecteuclid.org
Abstract This paper studies the method of empirical likelihood in models with weakly
dependent processes. In such cases, if the likelihood function is formulated as if the data
process were independent, obviously empirical likelihood fails. We propose to use ...
Cited by 224 - Related articles - BL Direct - All 16 versions

Empirical Likelihood‐Based Inference in Conditional Moment Restriction Models

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Y Kitamura, G Tripathi… - Econometrica, 2004 - Wiley Online Library
This paper proposes an asymptotically efficient method for estimating models with
conditional moment restrictions. Our estimator generalizes the maximum empirical likelihood
estimator (MELE) of Qin and Lawless (1994). Using a kernel smoothing method, we ...
Cited by 129 - Related articles - BL Direct - All 24 versions

Empirical likelihood methods in econometrics: Theory and practice

[PDF] from u-tokyo.ac.jp
Y Kitamura - 2006 - papers.ssrn.com
Abstract: Recent developments in empirical likelihood (EL) methods are reviewed. First, to
put the method in perspective, two interpretations of empirical likelihood are presented, one
as a nonparametric maximum likelihood estimation method (NPMLE) and the other as a ...
Cited by 85 - Related articles - BL Direct - All 29 versions

Asymptotic optimality of empirical likelihood for testing moment restrictions

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Y Kitamura - Econometrica, 2001 - Wiley Online Library
Economic theory often provides testable implications in the form of moment restrictions.
Hansen (1982) proposed a computationally simple test of moment restrictions based on
Generalized Method of Moments (GMM). This test, often referred to as the overidentifying ...
Cited by 79 - Related articles - BL Direct - All 9 versions

Testing conditional moment restrictions

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G Tripathi… - The Annals of Statistics, 2003 - projecteuclid.org
Abstract Let (x, z) be a pair of observable random vectors. We construct a new" smoothed"
empirical likelihood-based test for the hypothesis $\ E\{g (z,\ break\ theta)| x\}= 0$ wp 1,
where g is a vector of known functions and $\ theta $ an unknown finite-dimensional ...
Cited by 54 - Related articles - BL Direct - All 21 versions

Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments

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Y Kitamura… - Journal of Econometrics, 1997 - Elsevier
This paper develops a general theory of instrumental variables (IV) estimation that allows for
both I (1) and I (0) regressors and instruments. The main goal of this paper is to develop a
theory in which one does not need to know the integration properties of the regressors in ...
Cited by 47 - Related articles - Library Search - All 10 versions

Connections between entropic and linear projections in asset pricing estimation

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Y Kitamura… - Journal of Econometrics, 2002 - Elsevier
The concept of entropy has a long and distinguished history in the physical sciences and
engineering, in fields ranging from thermodynamics to image processing. Each of these
applications employs a probability distribution that solves a relative entropy projection ...
Cited by 34 - Related articles - All 11 versions

Estimation of cointegrated systems with I (2) processes

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Y Kitamura - Econometric Theory, 1995 - Cambridge Univ Press
Abstract This paper considers the properties of systems likelihood procedures for
cointegrated systems when the I (2) variables are present. Two alternative methods are
proposed: one is based on the full system likelihood, whereas another is based on the ...
Cited by 31 - Related articles - BL Direct - All 9 versions

Evaluating a simple method for estimating black-white gaps in median wages

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W Johnson, Y Kitamura… - The American economic review, 2000 - JSTOR
Racial differences in wage rates are important measures of economic inequality among
races because, for almost all individuals, labor income constitutes the most important
component of lifetime income. As a consequence, the prices at which individuals may sell ...
Cited by 26 - Related articles - BL Direct - All 15 versions

Nonparametric estimation in random coefficients binary choice models

[PDF] from arxiv.org
E Gautier… - Cowles Foundation Discussion Paper No. …, 2009 - papers.ssrn.com
Abstract: This paper considers random coefficients binary choice models. The main goal is
to estimate the density of the random coefficients nonparametrically. This is an ill-posed
inverse problem characterized by an integral transform. A new density estimator for the ...
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[CITATION] Comparing misspecified dynamic econometric models using nonparametric likelihood

Y Kitamura - Department of Economics, University of Wisconsin, 2000
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Efficient IV estimation in nonstationary regression

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Y Kitamura… - Econometric Theory, 1995 - Cambridge Univ Press
Abstract A limit theory for instrumental variables (IV) estimation that allows for possibly
nonstationary processes was developed in Kitamura and Phillips (1992, Fully Modified IV,
GIVE, and GMM Estimation with Possibly Non-stationary Regressors and Instruments, ...
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[PDF] Pensions and Wealth: New Evidence from the Health and Retirement Study

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S Khitatrakun, Y Kitamura… - Unpublished paper. Madison …, 2000 - econ.wisc.edu
* Contact author: jkscholz@ facstaff. wisc. edu,(608) 262-5380. Portions of this analysis use
HRS Preliminary Release data. The preliminary data from wave 4 has not been cleaned and
may contain errors that will be corrected in the final Public Release version of the dataset. ...
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Specification tests with instrumental variables and rank deficiency

Y Kitamura, D Corbae, SN Durlauf… - … Theory and Practice: …, 2006 - books.google.com
This chapter studies some problems concerning two commonly used instrumental variable
(IV)-based misspecification tests in linear models. One is Sargan's (1958, 1959) test of
overidentifying restrictions, and the other is the Durbin-Hausman-Wu test based on the ...
Cited by 10 - Related articles

Identifying finite mixtures in econometric models

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M Henry, Y Kitamura… - 2010 - papers.ssrn.com
Abstract: Mixtures of distributions are present in many econometric models, such as models
with unobserved heterogeneity. It is thus crucial to have a general approach to identify them
nonparametrically. Yet the literature so far only contains isolated examples, applied to ...
Cited by 9 - Related articles - All 16 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 ...
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NONPARAMETRIC LIKELIHOOD: EFFICIENCY AND ROBUSTNESS*

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Y Kitamura - Japanese Economic Review, 2007 - Wiley Online Library
Nonparametric likelihood is a natural generalization of parametric likelihood and it offers
effective methods for analysing economic models with nonparametric components. This is of
great interest, since econometric theory rarely suggests a parametric form of the ...
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[CITATION] Hypothesis testing in models with possibly nonstationary processes=

Y Kitamura - Unpublished manuscript. University of Minnesota, 1994
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[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 ...
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[PDF] Predictive inference and the bootstrap

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Y Kitamura - manuscript, University of Wisconsin, 1999 - cowles.econ.yale.edu
The idea of using out0of0sample prediction for model evaluation is not new. Many
prominent theorists have proposed and investigated predictive methods. Leading examples
include Dawid, s (1984) _prequential analysis% and Rissanen, s (1986a) _predictive ...
Cited by 5 - Related articles - View as HTML - All 5 versions

On the asymptotic optimality of empirical likelihood for testing moment restrictions

[PDF] from 128.36.236.35
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Y Kitamura, A Santos… - Econometrica, 2012 - Wiley Online Library
We show by example that empirical likelihood and other commonly used tests for moment
restrictions are unable to control the (exponential) rate at which the probability of a Type I
error tends to zero unless the possible distributions for the observed data are restricted ...
Cited by 3 - Related articles - Library Search - All 26 versions

[CITATION] Pensions and Wealth: New Evidence from the Health and Retirement Survey

S Khitatrakun, Y Kitamura… - Unpublished paper. University of Wisconsin ( …, 2001
Cited by 3 - Related articles

[CITATION] fEvaluating a Simple Method for Es# timating Black# White Gaps in Median Wages. gAmerican Economic Review Paper and Proceedings

R Johnson William, Y Kitamura… - 2000
Cited by 3 - Related articles

[CITATION] Pensions and Wealth: New Evidence from Health and Retirement Study', University of Wisconsin

S Khitatrakun, Y Kitamura… - 2001 - Mimeo
Cited by 2 - Related articles

[CITATION] qEmpirical likelihood methods in econometrics: theory and practice, r Advances in Economics and Econometrics: Theory and Applications

Y Kitamura - Ninth World Congress, 2007
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[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

Likelihood-Based Inference In Cointegrated Vector Autoregressive Models

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Y Kitamura - Econometric Theory, 1998 - Cambridge Univ Press
Abstract Since the notion of cointegration was established by Engel and Granger (1987),
many statistical methods have been suggested to estimate and test cointegrated models.
Undoubtedly the Gaussian likelihood–based method advocated by Johansen (1988, 1991 ...
Cited by 1 - Related articles - BL Direct - All 8 versions

[PDF] Entropy-Based Estimation Methods

[PDF] from colorado.edu
Y KITAMURA… - Encyclopedia of Quantitative Finance - leeds.colorado.edu
ABSTRACT Useful solutions to important estimation problems can be found by constrained
optimization of entropy subject to linear constraints. Two such problems are the estimation of
risk-neutral probabilities needed for derivative security valuation, and the estimation of ...
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Entropy‐Based Estimation

Y Kitamura… - Encyclopedia of Quantitative Finance - Wiley Online Library
Let P, mu be two probability measures on a probability space, with P absolutely continuous
with respect to mu (see Equivalence of Probability Measures), and denote the density of P
with respect to mu by dP/d mu> 0. The relative entropy D (P|| mu), sometimes called the ...
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Study on the identification method and the behavior of pathogenic microorganism.

M SUZUKI, Y KITAMURA… - Technical Memorandum of …, 2002 - sciencelinks.jp
Abstract; Aiming at understanding risks in the reuse of treated sewage and selecting the
control method, existing virus data obtained from general culture method were investigated.
Furthermore, quantitative detection method of Cryptosporidium using real time PCR was ...
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[CITATION] Department of Economics University of Wisconsin

Y Kitamura - 1999
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[PDF] SUPPLEMENT TO “ON THE ASYMPTOTIC OPTIMALITY OF EMPIRICAL LIKELIHOOD FOR TESTING MOMENT RESTRICTIONS”

[PDF] from econometricsociety.org
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Y KITAMURA, A SANTOS… - Econometrica, 2012 - econometricsociety.org
PROOF: Let B (γ) be the maximal subset of {B1 Bd+ 1} such that for all B∈ B (γ), we have
that γ g< 0 for all g∈ B. The desired claim follows if we can show (i) B (γ) is nonempty for any
0= γ∈ Rd and (ii) inf 0= γ∈ Rd ε (γ)> 0 where ε (γ)= max
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[CITATION] Editors: TAKESHI AMEMIYA A. RONALD GALLANT JOHN F. GEWEKE

C HSIAO, P ROBINSON, A ZELLNER… - Journal of …, 2008 - North Holland Pub. Co.
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[CITATION] Semiparametric estimation in the multinomial choice logit model (Prospectus) Eric M Becker August 2009

Y Kitamura… - 2009
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[PDF] Comparing Misspecified Dynamic Econometric Models Using Nonparametric Likelihood (Abstract)

[PDF] from ism.ac.jp
Y Kitamura - 2001 - tswww.ism.ac.jp
1 Background This paper develops a nonparametric likelihood-based method of comparing
possibly misspecified dynamic econometric models. A useful feature of the methodology is
that it applies to non-nested moment condition models. This research, in spirit, is related to ...
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EDITORS'INTRODUCTION: SPECIAL ISSUE ON EMPIRICAL LIKELIHOOD AND RELATED METHODS

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Y Kitamura… - Econometric Theory, 2011 - Cambridge Univ Press
Generalized method of moments (GMM) has been the workhorse for estimation and
inference in models specified by moment restrictions for much of the last two or more
decades. Suitably formulated GMM delivers semi-parametrically efficient estimators in ...
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[CITATION] Department of Economics University of Pennsylvania

Y Kitamura - 2001
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[PDF] Fully modified IV, GIVE and GMM estimation with

[PDF] from 128.36.236.35
Y Kitamura… - 128.36.236.35
This paper develops a general theory of instrumental variables (IV) estimation that allows for
both!(l) and!(0) regressors and instruments. The main goal of this paper is to develop a
theory in which one does not need to know the integration properties of the regressors in ...
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