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Author: Taisuke Otsu

44 results found.

Econometrics Paper

Regression adjustment in randomized controlled trials with many covariates

Harold D Chiang, Yukitoshi Matsushita and Taisuke Otsu

This paper is concerned with estimation and inference on average treatment effects in randomized controlled trials when researchers observe potentially many covariates. By em- ploying Neyman’s (1923) finite population pe...Read more...

9 February 2023

Econometrics Paper

Regression discontinuity design with potentially many covariates

Yoichi Arai, Taisuke Otsu and Myung Hwan Seo

This paper studies the case of possibly high-dimensional covariates in the regression discontinuity design (RDD) analysis. In particular, we propose estimation and inference methods for the RDD models with covariate sele...Read more...

31 October 2022

Econometrics Paper

GLS under monotone heteroskedasticity

Yoichi Arai, Taisuke Otsu and Mengshan Xu

The generalized least square (GLS) is one of the most basic tools in regression analyses. A major issue in implementing the GLS is estimation of the conditional variance function of the error term, which typically requir...Read more...

27 October 2022

Econometrics Paper

Conditional likelihood ratio test with many weak instruments

Sreevidya Ayyar, Yukitoshi Matsushita and Taisuke Otsu

This paper extends validity of the conditional likelihood ratio (CLR) test developed by Moreira (2003) to instrumental variable regression models with unknown error variance and many weak instruments. In this setting, we...Read more...

11 October 2022

Econometrics Paper

Isotonic propensity score matching

Taisuke Otsu and Mengshan Xu

We propose a one-to-many matching estimator of the average treatment effect based on propensity scores estimated by isotonic regression. The method relies on the monotonicity assumption on the propensity score function, ...Read more...

19 July 2022

Econometrics Paper

Bandwidth selection for nonparametric regression with errors-in-variables

Hao Dong, Taisuke Otsu and Luke Taylor

We propose two novel bandwidth selection procedures for the nonparametric regression model with classical measurement error in the regressors. Each method is based on evaluating the prediction errors of the regression us...Read more...

25 January 2022

Econometrics Paper

Estimating density ratio of marginals to joint: Applications to causal inference

Yukitoshi Matsushita, Taisuke Otsu and Keisuke Takahata

In various fields of data science, researchers often face problems of estimating the ratios of two probability densities. Particularly in the context of causal inference, the product of marginals for a treatment variable...Read more...

7 January 2022

Econometrics Paper

Equilibrium multiplicity in dynamic games: testing and estimation

Taisuke Otsu and Martin Pesendorfer

This paper surveys the recent literature on dynamic games estimation when there is a concern of equilibrium multiplicity. We focus on the questions of testing for equilibrium multiplicity and estimation in the presence o...Read more...

26 October 2021

Econometrics Paper

Multiway empirical likelihood

Harold D Chiang, Yukitoshi Matsushita and Taisuke Otsu

his paper develops a general methodology to conduct statistical inference for observations indexed by multiple sets of entities. We propose a novel multiway empirical likeli- hood statistic that converges to a chi-square...Read more...

19 October 2021

Econometrics Paper

Nonparametric inference for extremal conditional quantiles

Daisuke Kurisu and Taisuke Otsu

This paper studies asymptotic properties of the local linear quantile estimator under the extremal order quantile asymptotics, and develops a practical inference method for conditional quantiles in extreme tail areas. By...Read more...

14 September 2021

Econometrics Paper

On linearization of nonparametric deconvolution estimators for repeated measurements model

Daisuke Kurisu and Taisuke Otsu

By utilizing intermediate Gaussian approximations, this paper establishes asymptotic linear representations of nonparametric deconvolution estimators for the classical measurement error model with repeated measurements. ...Read more...

19 July 2021

Econometrics Paper

Reweighted nonparametric likelihood inference for linear functionals

Karun Adusumilli, Taisuke Otsu and Chen Qiu

This paper is concerned with inference on finite dimensional parameters in semiparametric moment condition models, where the moment functionals are linear with respect to unknown nuisance functions. By exploiting this li...Read more...

1 December 2020

Econometrics Paper

Jackknife Lagrange multiplier test with many weak instruments

Yukitoshi Matsushita and Taisuke Otsu

This paper proposes a jackknife Lagrange multiplier (JLM) test for instrumental variable regression models, which is robust to (i) many instruments, where the number of instruments may increase proportionally with the sa...Read more...

5 August 2020

Econometrics Paper

Second-order refinements for t-ratios with many instruments

Yukitoshi Matsushita and Taisuke Otsu

This paper studies second-order properties of the many instruments robust t-ratios based on the limited information maximum likelihood and Fuller estimators for instrumental variable regression models under the many inst...Read more...

12 May 2020

Econometrics Paper

Estimation of (static or dynamic) games under equilibrium multiplicity

Taisuke Otsu, Martin Pesendorfer, Yuya Sasaki and Yuya Takahashi

We propose a multiplicity-robust estimation method for (static or dynamic) games. The method allows for distinct behaviors and strategies across markets by treating market specific behaviors as correlated latent variable...Read more...

20 January 2020

Econometrics Paper

Nonparametric intermediate order regression quantiles

Hidehiko Ichimura, Taisuke Otsu and Joseph Altonji

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 regressi...Read more...

26 November 2019

Econometrics Paper

Estimation of Varying Coefficient Models with Measurement Error

Hao Dong, Taisuke Otsu and Luke Taylor

We propose a semiparametric estimator for varying coeﬃcient models when the regressors in the nonparametric component are measured with error. Varying coeﬃcient models are an extension of other popular semi...Read more...

26 November 2019

Econometrics Paper

Jackknife, small bandwidth and high-dimensional asymptotics

Yukitoshi Matsushita and Taisuke Otsu

This paper sheds light on problems of statistical inference under alternative or nonstandard asymptotic frameworks from the perspective of jackknife empirical likelihood (JEL). Examples include small bandwidth asymptotic...Read more...

22 July 2019

Econometrics Paper

On the uniform convergence of deconvolution estimators from repeated measurements

Daisuke Kurisu and Taisuke Otsu

This paper studies the uniform convergence rates of Li and Vuong's (1998) nonparametric deconvolution estimator and its regularized version by Comte and Kappus (2015) for the classical measurement error model, where repe...Read more...

22 July 2019

Econometrics Paper

Score estimation of monotone partially linear index model

Mengshan Xu and Taisuke Otsu

17 May 2019

Econometrics Paper

Average derivative estimation under measurement error

Hao Dong, Taisuke Otsu and Luke Taylor

17 May 2019

Econometrics Paper

Causal inference on regression discontinuity designs by high-dimensional methods

Yoichi Arai, Taisuke Otsu and Myung Hwan Seo

7 January 2019

Econometrics Paper

Nonparametric Estimation of Additive Model with Errors-in-Variables

Hao Dong and Taisuke Otsu

In estimation of nonparametric additive models, conventional methods, such as backfitting and series approximation, cannot be applied when measurement errors are present in covariates. We propose an estimator for such ...Read more...

27 November 2018

Econometrics Paper

Likelihood ratio inference for missing data models

Karun Adusumilli and Taisuke Otsu

Missing or incomplete outcome data is a ubiquitous problem in biomedical and social sciences. Under the missing at random setup, inverse probability weighting is widely applied to estimate and make inference on the popul...Read more...

30 October 2018

Econometrics Paper

Likelihood corrections for two-way models

Koen Jochmans and Taisuke Otsu

The use of two-way fixed-effect models is widespread. The presence of incidental parameter bias, however, invalidates statistical inference based on the likelihood. In this paper we consider modifications to the (profile...Read more...

19 February 2018

Econometrics Paper

Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect

Taisuke Otsu and Chen Qiu

This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high dimensional multiplicative moment conditions. Main examples are missing data problems, treatment effects, an...Read more...

4 January 2018

Econometrics Paper

Inference on distribution functions under measurement error

Karun Adusumilli, Taisuke Otsu and Yoon-Jae Whang

13 November 2017

Econometrics Paper

Relative error accurate statistic based on nonparametric likelihood

Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu

This paper develops a new test statistic for parameters defined by moment conditions that exhibits desirable relative error properties for the approximation of tail area probabilities. Our statistic, called the tilted ex...Read more...

13 November 2017

Econometrics Paper

Likelihood inference on semiparametric models: Average derivative and treatment effect

Yukitoshi Matsushita and Taisuke Otsu

In the past few decades, much progress has been made in semiparametric modeling and estimation methods for econometric analysis. This paper is concerned with inference (i.e., confidence intervals and hypothesis testing) ...Read more...

27 June 2017

Econometrics Paper

Empirical likelihood for high frequency data

Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu

With increasing availability of high frequency financial data as a background, various volatility measures and related statistical theory are developed in the recent literature. This paper introduces the method of empiri...Read more...

21 February 2017

Econometrics Paper

Local M-estimation with discontinuous criterion for dependent and limited observations

Myung Hwan Seo and Taisuke Otsu

This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum scor...Read more...

17 October 2016

Econometrics Paper

Likelihood inference on semiparametric models with generated regressors

Yukitoshi Matsushita and Taisuke Otsu

Hahn and Ridder (2013) formulated influence functions of semiparametric three step estimators where generated regressors are computed in the first step. This class of estimators covers several important examples for empi...Read more...

5 September 2016

Econometrics Paper

Specification testing for errors-in-variables models

Taisuke Otsu and Luke Taylor

This paper considers specification testing for regression models with errors-in-variables and proposes a test statistic comparing the distance between the parametric and nonparametric fits based on deconvolution techniqu...Read more...

15 August 2016

Econometrics Paper

Nonparametric instrumental regression with errors in variables

Karun Adusumilli and Taisuke Otsu

This paper considers nonparametric instrumental variable regression when the endogenous variable is contaminated with classical measurement error. Existing methods are inconsistent in the presence of measurement error. W...Read more...

21 July 2015

Econometrics Paper

Pooling data across markets in dynamic Markov games

Taisuke Otsu, Martin Pesendorfer and Yuya Takahashi

This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that data from distinct markets can be pooled. We formulate tests of (i) the conditional choice and state transit...Read more...

16 March 2015

Econometrics Paper

Nonparametric likelihood for volatility under high frequency data

Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu

We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empiric...Read more...

15 January 2015

Econometrics Paper

Bootstrap inference of matching estimators for average treatment effects

Taisuke Otsu and Yoshiyasu Rai

Abadie and Imbens (2008) showed that the standard naive bootstrap is inconsistent to estimate the distribution of the matching estimator for treatment effects with a fixed number of matches. This article proposes an asym...Read more...

13 January 2015

Econometrics Paper

Robust estimation of moment condition models with weakly dependent data

Kirill Evdokimov, Yuichi Kitamura and Taisuke Otsu

This paper considers robust estimation of moment condition models with time series data. Researchers frequently use moment condition models in dynamic econometric analysis. These models are particularly useful when one w...Read more...

5 December 2014

Econometrics Paper

Estimation of Nonseparable Models with Censored Dependent Variables and Endogenous Regressors.

Taisuke Otsu and Luke Taylor

In this paper we develop a nonparametric estimator for the local average response of a censored dependent variable to endogenous regressors in a nonseparable model where the unobservable error term is not restricted to b...Read more...

6 August 2014

Econometrics Paper

Empirical Likelihood for Random Sets

Karun Adusumilli and Taisuke Otsu

We extend the method of empirical likelihood to cover hypotheses involving the Aumann expectation of random sets. By exploiting the properties of random sets, we convert the testing problem into one involving a continuum...Read more...

25 June 2014

Econometrics Paper

Empirical Likelihood for Regression Discontinuity Design

Taisuke Otsu, Ke-Li Xu and Yukitoshi Matsushita

7 February 2014

Econometrics Paper

Robustness of bootstrap in instrumental variable regression

Lorenzo Camponovo and Taisuke Otsu

This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimme...Read more...

21 January 2014

Econometrics Paper

Asymptotics for maximum score method under general conditions

Myung Hwan Seo and Taisuke Otsu

Abstract. Since Manski's (1975) seminal work, the maximum score method for discrete choice models has been applied to various econometric problems. Kim and Pollard (1990) established the cube root asymptotics for the max...Read more...

Revised August 2014

Econometrics Paper

ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA

Taisuke Otsu and Yoshiyasu Rai

This paper revisits testability of complementarity in economic models with multiple equilibria studied by Echenique and Komunjer (2009). We find that Echenique and Komunjer’s (2009) testable implications on extreme quant...Read more...

1 February 2013