研　究

主な分野

計量経済学、統計学

学術書

1. Asymmetric Kernel Smoothing: Theory and Applications in Economics and Finance, JSS Research Series in Statistics, 2018, Singapore: Springer, ISBN: 978-981-10-5465-5.

学術書の一章（査読付き）

1. "DS-HECK: Double-Lasso Estimation of Heckman Selection Model," with Di Liu, Irina Murtazashvili and Artem Prokhorov, in Subal C. Kumbhakar, Robin C. Sickles, and Hung-Jen Wang (eds.), Advances in Applied Econometrics: Celebrating Peter Schmidt's Legacy, Advanced Studies in Theoretical and Applied Econometrics, Volume 55, 2025, Cham, Switzerland: Springer, ISBN: 978-3-031-48384-4, pp.711-739.

公刊論文（査読付き）

1. "Nonparametric Estimation of Splicing Points in Skewed Cost Distributions: A Kernel-Based Approach," with Benedikt Funke, Journal of Nonparametric Statistics, forthcoming.
• 補足資料.
2. "On Uniform Consistency of Nonparametric Estimators Smoothed by the Gamma Kernel," with Benedikt Funke, Annals of the Institute of Statistical Mathematics, Volume 77, Issue 3, June 2025, pp.459-489.
3. "Density Derivative Estimation Using Asymmetric Kernels," with Benedikt Funke, Journal of Nonparametric Statistics, Volume 36, Issue 4, October 2024, pp.994-1017.
4. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Volume 27 ("Special Issues on the 20th Anniversary of the CMStatistics (Computational and Methodological Statistics)"), July 2023, pp.36-61.
5. "DS-HECK: Double-Lasso Estimation of Heckman Selection Model," with Di Liu, Irina Murtazashvili and Artem Prokhorov, Empirical Economics, Volume 64, Issue 6 ("Special Issue in Honor of Professor Peter Schmidt"), June 2023, pp.3167-3195.
6. "Yet Another Look at the Omitted Variable Bias," with Irina Murtazashvili and Artem Prokhorov, Econometric Reviews, Volume 42, Issue 1, March 2023, pp.1-27.
• 補足資料.
• シミュレーション・実証分析を複製するためのGAUSSコード.
7. "Uniform Convergence Rates for Nonparametric Estimators Smoothed by the Beta Kernel," with Irina Murtazashvili and Artem Prokhorov, Scandinavian Journal of Statistics, Volume 49, Issue 3, September 2022, pp.1353-1382.
8. "Bias Correction for Local Linear Regression Estimation Using Asymmetric Kernels via the Skewing Method," with Benedikt Funke, Econometrics and Statistics, Volume 20 ("Advances of Econometrics and Statistics (EcoSta)," 2nd Issue), October 2021, pp.109-130.
9. "msreg: A Stata Command for Consistent Estimation of Linear Regression Models Using Matched Data," with Di Liu and Artem Prokhorov, Stata Journal, Volume 21, Issue 1, March 2021, pp.123-140.
• シミュレーション・実証分析を複製するためのStataコード.
10. "Another Bias Correction for Asymmetric Kernel Density Estimation with a Parametric Start," with Mari Sakudo, Statistics & Probability Letters, Volume 145, February 2019, pp.158-165.
11. "Nonparametric Estimation and Testing on Discontinuity of Positive Supported Densities: A Kernel Truncation Approach," with Benedikt Funke, Econometrics and Statistics, Volume 9, January 2019, pp.156-170.
• 補足資料.
12. "Functional-Coefficient Cointegration Models in the Presence of Deterministic Trends," with Mari Sakudo, Econometric Reviews, Volume 37, Issue 5, May 2018, pp.507-533.
• 補足資料.
13. "Consistent Estimation of Linear Regression Models Using Matched Data," with Artem Prokhorov, Journal of Econometrics, Volume 203, Issue 2, April 2018, pp.344-358.
• 補足資料.
14. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," with Mari Sakudo, Econometrics, Volume 4, Issue 2, June 2016, Article No.28.
15. "Reexamination of the Robustness of the Fama-French Three-Factor Model," with Jiro Hodoshima, Far East Journal of Theoretical Statistics, Volume 52, Issue 3, May 2016, pp.215-234.
16. "Corrigendum to "Nonparametric Multiplicative Bias Correction for Kernel-Type Density Estimation on the Unit Interval" [Comput. Statist. Data Anal. 54 (2010) 473-495]," Computational Statistics & Data Analysis, Volume 95, March 2016, pp.240-242.
• 補足資料.
17. "Family of the Generalised Gamma Kernels: A Generator of Asymmetric Kernels for Nonnegative Data," with Mari Sakudo, Journal of Nonparametric Statistics, Volume 27, Issue 1, January 2015, pp.41-63.
• 補足資料.
18. "Nonnegative Bias Reduction Methods for Density Estimation Using Asymmetric Kernels," with Mari Sakudo, Computational Statistics & Data Analysis, Volume 75, July 2014, pp.112-123.
19. "Nonparametric Estimation of Scalar Diffusion Models of Interest Rates Using Asymmetric Kernels," with Nikolay Gospodinov, Journal of Empirical Finance, Volume 19, Issue 4, September 2012, pp.595-609.
20. "Venture Capital and Innovation: Which Is First?," with Masako Ueda, Pacific Economic Review, Volume 16, Issue 4, October 2011, pp.421-465.
21. "How Useful Is Yet Another Data-Driven Bandwidth in Long-Run Variance Estimation?: A Simulation Study on Cointegrating Regressions," Economics Letters, Volume 111, Issue 2, May 2011, pp.170-172.
22. "A Two-Stage Plug-In Bandwidth Selection and Its Implementation for Covariance Estimation," Econometric Theory, Volume 26, Issue 3, June 2010, pp.710-743.
• Lemma 2の詳細な証明.
• SPバンド幅の公式を計算するためのGAUSSコード（バートレット・カーネル用）: bt_sp.prg.
• SPバンド幅の公式を計算するためのGAUSSコード（パルザン・カーネル用）: pz_sp.prg.
23. "Nonparametric Multiplicative Bias Correction for Kernel-Type Density Estimation on the Unit Interval," Computational Statistics & Data Analysis, Volume 54, Issue 2, February 2010, pp.473-495.
24. "A Modified Nonparametric Prewhitened Covariance Estimator," Journal of Time Series Analysis, Volume 27, Issue 3, May 2006, pp.441-476.

公刊論文（査読なし）

1. "Independence of the Sample Mean and Variance for Normal Distributions: A Proof by Induction," Setsunan Economic Review, Volume 5, Issues 1-2, March 2015, pp.1-5.
2. "Stabilizing a GMM Bootstrap for Time Series: A Simulation Study," Setsunan Economic Review, Volume 1, Issues 1-2, March 2011, pp.19-37.
3. "The Tenuous Relationship of Venture Capital and Innovation," with Masako Ueda, VoxEU.org, 30 January 2009.

ワーキング・ペーパー

• "Sufficient Dimension Reduction Meets Two-Sample Regression Estimation," with Di Liu and Artem Prokhorov, March 2026.
• "Nonparametric Estimation of Splicing Points in Actuarial Loss Distributions via Data Transformation," with Benedikt Funke, May 2025 (submitted).
• 補足資料.
• "Trending Time-Varying Coefficient Regression Models: Estimation and Prediction by Local Linear Smoothers Using Asymmetric Kernels," December 2024.

研究中の課題

• "Average Derivative Estimation Using Asymmetric Kernels," with Benedikt Funke.
• "Single-Index MIDAS Regressions Through Sufficient Dimension Reduction."
• "Improvement in Optimal Bandwidth Selection for Two-Step GMM Estimation."
• "Bandwidth Selection for FM-OLS Estimation of Cointegrating Regressions."
• "Sample Selection Models with Multiple Outcomes: An Application to Tourism Data."

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