4 papers
Local Gaussian copula inference with structural breaks: testing dependence predictability
Alexander Mayer, Tatsushi Oka, Dominik Wied
We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics i…
Inflation Target at Risk: A Time-varying Parameter Distributional Regression
Yunyun Wang, Tatsushi Oka, Dan Zhu
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot…
Semiparametric Single-Index Estimation for Average Treatment Effects
Difang Huang, Jiti Gao, Tatsushi Oka
We propose a semiparametric method to estimate the average treatment effect under the assumption of unconfoundedness given observational data. Our estimation method alleviates miss…
Quantile Random-Coefficient Regression with Interactive Fixed Effects: Heterogeneous Group-Level Policy Evaluation
Ruofan Xu, Jiti Gao, Tatsushi Oka +1
We propose a quantile random-coefficient regression with interactive fixed effects to study the effects of group-level policies that are heterogeneous across individuals. Our appro…