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pro vyhledávání: '"Shimotsu, Katsumi"'
This paper studies inference in predictive quantile regressions when the predictive regressor has a near-unit root. We derive asymptotic distributions for the quantile regression estimator and its heteroskedasticity and autocorrelation consistent (HA
Externí odkaz:
http://arxiv.org/abs/2306.00296
Publikováno v:
In Journal of Econometrics October 2024 245(1-2)
Autor:
Kasahara, Hiroyuki, Shimotsu, Katsumi
We study identification in nonparametric regression models with a misclassified and endogenous binary regressor when an instrument is correlated with misclassification error. We show that the regression function is nonparametrically identified if one
Externí odkaz:
http://arxiv.org/abs/1904.11143
Autor:
Kasahara, Hiroyuki, Shimotsu, Katsumi
Finite mixtures of multivariate normal distributions have been widely used in empirical applications in diverse fields such as statistical genetics and statistical finance. Testing the number of components in multivariate normal mixture models is a l
Externí odkaz:
http://arxiv.org/abs/1902.02920
Autor:
Kasahara, Hiroyuki, Shimotsu, Katsumi
Markov regime switching models have been used in numerous empirical studies in economics and finance. However, the asymptotic distribution of the likelihood ratio test statistic for testing the number of regimes in Markov regime switching models has
Externí odkaz:
http://arxiv.org/abs/1801.06862
Autor:
Kasahara, Hiroyuki, Shimotsu, Katsumi
Markov regime switching models have been widely used in numerous empirical applications in economics and finance. However, the asymptotic distribution of the maximum likelihood estimator (MLE) has not been proven for some empirically popular Markov r
Externí odkaz:
http://arxiv.org/abs/1705.10445
Autor:
Kasahara, Hiroyuki, Shimotsu, Katsumi
Publikováno v:
In Journal of Econometrics February 2019 208(2):442-467
Publikováno v:
Annals of Statistics 2005, Vol. 33, No. 4, 1890-1933
An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle es
Externí odkaz:
http://arxiv.org/abs/math/0508286
Publikováno v:
Annals of Statistics 2004, Vol. 32, No. 2, 656-692
Asymptotic properties of the local Whittle estimator in the nonstationary case (d>{1/2}) are explored. For {1/2}
Externí odkaz:
http://arxiv.org/abs/math/0406462
Autor:
Shimotsu, Katsumi
Publikováno v:
The Annals of Statistics, 2004 Apr 01. 32(2), 656-692.
Externí odkaz:
https://www.jstor.org/stable/3448481