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Keyword: empirical likelihood;

8 results found.

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, 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 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 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

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

Semiparametric Regression Analysis under Imputation for Missing Response Data

Wolfgang Haerdle, Oliver Linton and Qihua Wang

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estima...Read more...

May 2003