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- Publications
- Influence
An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Y. Kitamura, M. Stutzer
- Mathematics
- 1 July 1997
While optimally weighted generalized method of moments (GAM) estimation has desirable large sample properties, its small sample performance is poor in some applications. The authors propose a… Expand
Empirical likelihood methods with weakly dependent processes
- Y. Kitamura
- Mathematics
- 1 October 1997
This paper studies the method of empirical likelihood in models with weakly dependent processes. In such cases, if the likelihood function is formulated as if the data process were independent,… Expand
Empirical Likelihood Methods in Econometrics: Theory and Practice
- Y. Kitamura
- Mathematics
- 1 June 2006
Recent developments in empirical likelihood (EL) methods are reviewed. First, to put the method in perspective, two interpretations of empirical likelihood are presented, one as a nonparametric… Expand
Empirical Likelihood Based Inference in Conditional Moment Restriction Models
- Y. Kitamura, G. Tripathi, H. Ahn
- Mathematics
- 1 November 2004
This paper proposes an asymptotically efficient method for estimating models with conditional moment restrictions. Our estimator generalizes the maximum empirical likelihood estimator (MELE) of Qin… Expand
Nonparametric Estimation in Random Coefficients Binary Choice Models
- E. Gautier, Y. Kitamura
- Mathematics
- 14 July 2009
This paper considers random coefficients binary choice models. The main goal is to estimate the density of the random coefficients nonparametrically. This is an ill-posed inverse problem… Expand
Testing conditional moment restrictions
- G. Tripathi, Y. Kitamura
- Mathematics
- 1 December 2003
Let (x, z) be a pair of observable random vectors. We construct a new smoothed empirical likelihood-based test for the hypothesis E{g(z, θ)|x} = 0 w.p.1, where g is a vector of known functions and θ… Expand
Nonparametric Analysis of Random Utility Models
- Y. Kitamura, Jorg Stoye
- Mathematics, Economics
- 15 June 2016
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was… Expand
Connections between Entropic and Linear Projections in Asset Pricing Estimation
- Michael J. Stutzer, Y. Kitamura
- Economics
- 2002
The concept of entropy has a long and distinguished history in the physical sciences and engineering, in fields ranging from thermodynamics to image processing. Each of these applications employs a… Expand
On the Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
- Y. Kitamura, A. Santos, A. Shaikh
- Mathematics
- 1 November 2001
In this paper we make two contributions. First, we show by example that empirical likelihood and other commonly used tests for parametric moment restrictions, including the GMM-based J-test of Hansen… Expand
Evaluating a Simple Method for Estimating Black-White Gaps in Median Wages
- W. Johnson, Y. Kitamura, Derek A. Neal
- Economics
- 1 May 2000
Racial differences in wage rates are important measures of economic inequality among races because, for almost all individuals, labor income constitutes the most important component of lifetime… Expand