Research

Fields of Specialization

Theoretical and Applied Econometrics, Statistics.

Books

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.

Refereed Journal Articles

1. "Density Derivative Estimation Using Asymmetric Kernels," with Benedikt Funke, Journal of Nonparametric Statistics, forthcoming.
2. "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.
3. "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.
4. "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.
• Supplementary Material.
• GAUSS Codes for Simulations and Applications.
5. "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.
6. "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.
7. "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.
• Stata Codes for Simulations and Applications.
8. "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.
9. "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.
• Supplementary Material.
10. "Functional-Coefficient Cointegration Models in the Presence of Deterministic Trends," with Mari Sakudo, Econometric Reviews, Volume 37, Issue 5, May 2018, pp.507-533.
• Supplementary Material.
11. "Consistent Estimation of Linear Regression Models Using Matched Data," with Artem Prokhorov, Journal of Econometrics, Volume 203, Issue 2, April 2018, pp.344-358.
• Supplementary Material.
12. "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.
13. "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.
14. "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.
• Supplementary Material.
15. "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.
• Supplementary Material.
16. "Nonnegative Bias Reduction Methods for Density Estimation Using Asymmetric Kernels," with Mari Sakudo, Computational Statistics & Data Analysis, Volume 75, July 2014, pp.112-123.
17. "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.
18. "Venture Capital and Innovation: Which Is First?," with Masako Ueda, Pacific Economic Review, Volume 16, Issue 4, October 2011, pp.421-465.
19. "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.
20. "A Two-Stage Plug-In Bandwidth Selection and Its Implementation for Covariance Estimation," Econometric Theory, Volume 26, Issue 3, June 2010, pp.710-743.
• A detailed proof of Lemma 2.
• GAUSS code for SP bandwidth choice rule in HAC estimation using the Bartlett kernel: bt_sp.prg.
• GAUSS code for SP bandwidth choice rule in HAC estimation using the Parzen kernel: pz_sp.prg.
21. "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.
22. "A Modified Nonparametric Prewhitened Covariance Estimator," Journal of Time Series Analysis, Volume 27, Issue 3, May 2006, pp.441-476.

Non-Refereed Journal Articles

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.

Miscellanea (Editorials, Reports, Reviews, etc.)

1. "Review on Liu, Zejian, and Li, Meng: "On the Estimation of Derivatives Using Plug-in Kernel Ridge Regression Estimators," Journal of Machine Learning Research, Volume 24, July 2023, Article No.266," Mathematical Reviews, forthcoming, MR4664703.
2. "Review on Favaro, Stefano, and Naulet, Zacharie: "Near-Optimal Estimation of the Unseen under Regularly Varying Tail Populations," Bernoulli, Volume 29, Issue 4, November 2023, pp.3423-3442," Mathematical Reviews, forthcoming, MR4632144.
3. "Review on Butucea, Cristina, Rohde, Angelika, and Steinberger, Lukas: "Interactive versus Noninteractive Locally Differentially Private Estimation: Two Elbows for the Quadratic Functional," Annals of Statistics, Volume 51, Issue 2, April 2023, pp.464-486," Mathematical Reviews, 09 February 2024, MR4600989.
4. "Review on Che, Menglu, Han, Peisong, and Lawless, Jerald F.: "Improving Estimation Efficiency for Two-Phase, Outcome-Dependent Sampling Studies," Electronic Journal of Statistics, Volume 17, Issue 1, February 2023, pp.1043-1073," Mathematical Reviews, 24 October 2023, MR4571186.
5. "Review on Capitao-Miniconi, Jeremie, and Gassiat, Elisabeth: "Deconvolution of Spherical Data Corrupted with Unknown Noise," Electronic Journal of Statistics, Volume 17, Issue 1, February 2023, pp.607-649," Mathematical Reviews, 21 August 2023, MR4545120.
6. "Review on Jeon, Jeong Min, and Van Keilegom, Ingrid: "Density Estimation for Mixed Euclidean and Non-Euclidean Data in the Presence of Measurement Error," Journal of Multivariate Analysis, Volume 193, January 2023, Article No.105125," Mathematical Reviews, 07 June 2023, MR4508191.
7. "Review on Ghosh, Santu, and Polansky, Alan M.: "Large-Scale Simultaneous Testing Using Kernel Density Estimation," Sankhya A: The Indian Journal of Statistics, Volume 84, Issue 2, August 2022, pp.808-843," Mathematical Reviews, 04 April 2023, MR4488251.
8. "Review on Geng, Pei: "Estimation of Functional-Coefficient Autoregressive Models with Measurement Error," Journal of Multivariate Analysis, Volume 192, November 2022, Article No.105077," Mathematical Reviews, 18 January 2023, MR4455957.
9. "Review on Wechsung, Maximilian, and Neumann, Michael H.: "Consistency of a Nonparametric Least Squares Estimator in Integer-Valued GARCH Models," Journal of Nonparametric Statistics, Volume 34, Issue 2, May 2022, pp.491-519," Mathematical Reviews, 11 October 2022, MR4423730.
10. "Conference Report: 5th International Conference on Econometrics and Statistics (EcoSta 2022)" [in Japanese], Ryukoku Journal of Economic Studies, Volume 62, Issue 1, September 2022, pp.39-41.
11. "Review on Kurisu, Daisuke, and Otsu, Taisuke: "On Linearization of Nonparametric Deconvolution Estimators for Repeated Measurements Model," Journal of Multivariate Analysis, Volume 189, May 2022, Article No.104921," Mathematical Reviews, 31 August 2022, MR4349899.
12. "Review on Li, Linyuan, and Zhang, Biao: "Nonlinear Wavelet-Based Estimation to Spectral Density for Stationary Non-Gaussian Linear Processes," Applied and Computational Harmonic Analysis, Volume 60, September 2022, pp.176-224," Mathematical Reviews, 25 August 2022, MR4398348.
13. "Review on Caron, Emmanuel, Dedecker, Jerome, and Michel, Bertrand: "Gaussian Linear Model Selection in a Dependent Context," Electronic Journal of Statistics, Volume 15, Issue 2, October 2021, pp.4823-4867," Mathematical Reviews, 25 May 2022, MR4320950.
14. "Review on Zhang, Jun, Lin, Bingqing, and Zhou, Yan: "Kernel Density Estimation for Partial Linear Multivariate Responses Models," Journal of Multivariate Analysis, Volume 185, September 2021, Article No.104768," Mathematical Reviews, 26 April 2022, MR4265707.
15. "Review on Wang, Qiying, Phillips, Peter C. B., and Kasparis, Ioannis: "Latent Variable Nonparametric Cointegrating Regression," Econometric Theory, Volume 37, Issue 1, February 2021, pp.138-168," Mathematical Reviews, 02 December 2021, MR4215856.
16. "Review on Dette, Holger, Eckle, Theresa, and Vetter, Mathias: "Multiscale Change Point Detection for Dependent Data," Scandinavian Journal of Statistics, Volume 47, Issue 4, December 2020, pp.1243-1274," Mathematical Reviews, 20 September 2021, MR4178193.
17. "Review on Jimenez-Gamero, M. Dolores, Lee, Sangyeol, and Meintanis, Simos G.: "Goodness-of-Fit Tests for Parametric Specifications of Conditionally Heteroscedastic Models," TEST, Volume 29, Issue 3, September 2020, pp.682-703," Mathematical Reviews, 12 April 2021, MR4140779.
18. "Review on Khismatullina, Marina, and Vogt, Michael: "Multiscale Inference and Long-Run Variance Estimation in Non-Parametric Regression with Time Series Errors," Journal of the Royal Statistical Society, Series B, Volume 82, Issue 1, February 2020, pp.5-37," Mathematical Reviews, 23 February 2021, MR4060975.
19. "Review on Amini-Seresht, Ebrahim, and Milosevic, Bojana: "New Non-Parametric Tests for Independence," Journal of Statistical Computation and Simulation, Volume 90, Issue 7, May 2020, pp.1301-1314," Mathematical Reviews, 10 November 2020, MR4085751.
20. "Review on Chesneau, Christophe, El Kolei, Salima, Kou, Junke, and Navarro, Fabien: "Nonparametric Estimation in a Regression Model with Additive and Multiplicative Noise," Journal of Computational and Applied Mathematics, Volume 380, December 2020, Article No.112971," Mathematical Reviews, 27 October 2020, MR4101465.
21. "Review on Zhang, Rui, Wu, Yi, Xu, Weifeng, and Wang, Xuejun: "On Complete Consistency for the Weighted Estimator of Nonparametric Regression Models," Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas (RACSAM), Volume 113, Issue 3, July 2019, pp.2319-2333," Mathematical Reviews, 20 December 2019, MR3956252.
22. "Review on Kroll, Martin: "Non-parametric Poisson Regression from Independent and Weakly Dependent Observations by Model Selection," Journal of Statistical Planning and Inference, Volume 199, March 2019, pp.249-270," Mathematical Reviews, 26 April 2019, MR3857826.
23. "Review on Nagler, Thomas: "Asymptotic Analysis of the Jittering Kernel Density Estimator," Mathematical Methods of Statistics, Volume 27, Issue 1, January 2018, pp.32-46," Mathematical Reviews, 15 November 2018, MR3800980.

Working Papers

• "Trending Time-Varying Coefficient Regression Models: Estimation and Prediction by Local Linear Smoothers Using Asymmetric Kernels," April 2024.
• "Sufficient Dimension Reduction Meets Two-Sample Regression Estimation," April 2024.
• "Transformation-Based Threshold Detection for Cost Distributions," with Benedikt Funke, April 2024.
• "On Uniform Consistency of Density Derivative Estimation Using the Beta Kernel," with Benedikt Funke, April 2024.
• "Uniform Convergence Rates for Nonparametric Estimators Smoothed by the Gamma Kernel," with Benedikt Funke, April 2024.
• "Nonparametric Threshold Detection for Cost Distributions," with Benedikt Funke, April 2024 (submitted).
• Supplementary Material.

Work in Progress

• "Simultaneous Detection of Jump and Kink Points in Cost Distributions," with Benedikt Funke.
• "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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