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Author: Yukitoshi Matsushita

18 results found.

Econometrics Paper

GMM under finite-population asymptotics: instrumental variables and regression adjustment

Haruo Kakehi, Yukitoshi Matsushita and Taisuke Otsu

This paper extends the finite-population asymptotic approach by Abadie et al. (2014, 2020) to the generalized method of moments (GMM) estimator for moment condition models. Motivating examples include instrumental variab...Read more...

8 January 2026

Econometrics Paper

Applications of cross-fit variance estimator for testing model specification, overidentification, and structural parameter hypotheses

Yukitoshi Matsushita, Taisuke Otsu and Keita Sunada

This paper advocates that power improvement based on the cross-fit variance estimator, proposed by Mikusheva and Sun (2022), is generally applicable to other econometric inference problems, where the statistics of intere...Read more...

17 November 2025

Econometrics Paper

Optimal covariate selection and higher-order accurate inference for randomized experiments

Yukitoshi Matsushita and Taisuke Otsu

Randomized experiments have been widely applied in empirical research. In modern applications, researchers often have access to a large number of covariates, and the methods of covariate adjustment are commonly employed....Read more...

30 October 2025

Econometrics Paper

Cross-fitted instrumental variable estimation with many instruments and many included exogenous regressors

Yukitoshi Matsushita and Taisuke Otsu

This paper is concerned with estimation and inference on structural parameters in instrumental variable regression models that involve not only many weak instruments but also many included exogenous regressors. This sett...Read more...

23 July 2025

Econometrics Paper

Empirical likelihood for network data

Yukitoshi Matsushita and Taisuke Otsu

This article develops a concept of nonparametric likelihood for network data based on network moments, and proposes general inference methods by adapting the theory of jackknife empirical likelihood. Our methodology can ...Read more...

7 August 2023

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

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

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

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

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

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

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

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

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

Empirical Likelihood for Regression Discontinuity Design

Taisuke Otsu, Ke-Li Xu and Yukitoshi Matsushita