480 citations · 730 across the 9 of their papers we have counts for
10 papers
Testing for Unobserved Heterogeneity in Censored Duration Models: EM Approach
Hiroyuki Kasahara, Hirokazu Matsuyama, Katsumi Shimotsu +1
Ignoring unobserved heterogeneity in duration models biases parameter estimates and invalidates inference, but testing for it is non-regular: the null hypothesis lies on the bounda…
Sequential Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity
Ertian Chen, Hiroyuki Kasahara, Katsumi Shimotsu
Unobserved heterogeneity is empirically central in dynamic discrete choice models but computationally costly to incorporate: estimation requires repeatedly solving fixed-point equa…
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Yu Hao, Hiroyuki Kasahara, Katsumi Shimotsu
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we sho…
Inference in Predictive Quantile Regressions
Alex Maynard, Katsumi Shimotsu, Nina Kuriyama
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 e…
Identification of Regression Models with a Misclassified and Endogenous Binary Regressor
Hiroyuki Kasahara, Katsumi Shimotsu
We study identification in nonparametric regression models with a misclassified and endogenous binary regressor when an instrument is correlated with misclassification error. We sh…
Testing the Order of Multivariate Normal Mixture Models
Hiroyuki Kasahara, Katsumi Shimotsu
Finite mixtures of multivariate normal distributions have been widely used in empirical applications in diverse fields such as statistical genetics and statistical finance. Testing…