5 citations · 8 across the 12 of their papers we have counts for
6 papers · 1 filter
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…
Distributional Vector Autoregression: Eliciting Macro and Financial Dependence
Yunyun Wang, Tatsushi Oka, Dan Zhu
Vector autoregression is an essential tool in empirical macroeconomics and finance for understanding the dynamic interdependencies among multivariate time series. In this study, we…
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…
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…
Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures
Dukpa Kim, Tatsushi Oka, Francisco Estrada +1
What transpires from recent research is that temperatures and radiative forcing seem to be characterized by a linear trend with two changes in the rate of growth. The first occurs…