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Keyword: asymptotics;

8 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

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

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

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

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

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator

Wolfgang Härdle, Oliver Linton and Yingcun Xia

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothin...Read more...

July 2009

Econometrics Paper

Cointegration in Fractional Systems with Unkown Integration Orders

Javier Hualde and Peter M Robinson

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is complet...Read more...

February 2003

Econometrics Paper

Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices

Paolo Zaffaroni

Asset returns have a very complicated dynamic pattern. Yet they display regularity across different assets and periods. We consider a new family of volatility models which account for such patterns, focussing in particul...Read more...

May 1997