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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

518 64

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

360 56

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

172 25- PDF

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

199 18- PDF

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

94 14- PDF

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

82 11- PDF

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

56 9- PDF

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

53 8- PDF

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

100 8- PDF

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

76 7- PDF