Research

Fields of Specialization

Theoretical and Applied Econometrics, Statistics.

Books

1. Asymmetric Kernel Smoothing: Theory and Applications in Economics and Finance, JSS Research Series in Statistics, 2018, Heidelberg: Springer, ISBN: 978-981-10-5465-5.

Refereed Journal Articles

1. "Nonparametric Estimation and Testing on Discontinuity of Positive Supported Densities: A Kernel Truncation Approach," with Benedikt Funke, Econometrics and Statistics, forthcoming.
• Supplementary Material.
2. "Consistent Estimation of Linear Regression Models Using Matched Data," with Artem Prokhorov, Journal of Econometrics, forthcoming.
• Supplementary Material.
3. "Functional-Coefficient Cointegration Models in the Presence of Deterministic Trends," with Mari Sakudo, Econometric Reviews, forthcoming.
• Supplementary Material.
4. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," with Mari Sakudo, Econometrics, Volume 4, Issue 2, June 2016, Article No. 28.
5. "Reexamination of the Robustness of the Fama-French Three-Factor Model," with Jiro Hodoshima, Far East Journal of Theoretical Statistics, Volume 52, Issue 3, May 2016, pp. 215-234.
6. "Corrigendum to "Nonparametric Multiplicative Bias Correction for Kernel-Type Density Estimation on the Unit Interval" [Comput. Statist. Data Anal. 54 (2010) 473-495]," Computational Statistics & Data Analysis, Volume 95, March 2016, pp. 240-242.
• Supplementary Material.
7. "Family of the Generalised Gamma Kernels: A Generator of Asymmetric Kernels for Nonnegative Data," with Mari Sakudo, Journal of Nonparametric Statistics, Volume 27, Issue 1, January 2015, pp. 41-63.
• Supplementary Material.
8. "Nonnegative Bias Reduction Methods for Density Estimation Using Asymmetric Kernels," with Mari Sakudo, Computational Statistics & Data Analysis, Volume 75, July 2014, pp. 112-123.
9. "Nonparametric Estimation of Scalar Diffusion Models of Interest Rates Using Asymmetric Kernels," with Nikolay Gospodinov, Journal of Empirical Finance, Volume 19, Issue 4, September 2012, pp. 595-609.
10. "Venture Capital and Innovation: Which Is First?," with Masako Ueda, Pacific Economic Review, Volume 16, Issue 4, October 2011, pp. 421-465.
11. "How Useful Is Yet Another Data-Driven Bandwidth in Long-Run Variance Estimation?: A Simulation Study on Cointegrating Regressions," Economics Letters, Volume 111, Issue 2, May 2011, pp. 170-172.
12. "A Two-Stage Plug-In Bandwidth Selection and Its Implementation for Covariance Estimation," Econometric Theory, Volume 26, Issue 3, June 2010, pp. 710-743.
• A detailed proof of Lemma 2.
• GAUSS code for SP bandwidth choice rule in HAC estimation using the Bartlett kernel: bt_sp.prg.
• GAUSS code for SP bandwidth choice rule in HAC estimation using the Parzen kernel: pz_sp.prg.
13. "Nonparametric Multiplicative Bias Correction for Kernel-Type Density Estimation on the Unit Interval," Computational Statistics & Data Analysis, Volume 54, Issue 2, February 2010, pp. 473-495.
14. "A Modified Nonparametric Prewhitened Covariance Estimator," Journal of Time Series Analysis, Volume 27, Issue 3, May 2006, pp. 441-476.

Non-Refereed Journal Articles

1. "Independence of the Sample Mean and Variance for Normal Distributions: A Proof by Induction," Setsunan Economic Review, Volume 5, Issues 1-2, March 2015, pp. 1-5.
2. "Stabilizing a GMM bootstrap for Time Series: A Simulation Study," Setsunan Economic Review, Volume 1, Issues 1-2, March 2011, pp. 19-37.
3. "The Tenuous Relationship of Venture Capital and Innovation," with Masako Ueda, VoxEU.org, 30 January 2009.

Working Papers

• "Two-Sample Estimation as an Altervative to Instrumental Variable Estimation in the Presence of Omitted Variables," with Irina Murtazashvili and Artem Prokhorov, January 2018.
• "Bias Correction for Asymmetric Kernel Density Estimation with a Parametric Start," with Mari Sakudo, January 2018.
• "Two-Sample Estimation of Varying Coefficient Models via Nearest Neighbor Matching," with Artem Prokhorov and Yajing Zhu, July 2017.
• "Venture Capital and Industrial "Innovation"," with Masako Ueda, June 2013.

Work In Progress

• "Skewing Methods for Asymmetric Kernel Regression Estimation," with Benedikt Funke.
• "Consistent Specification Testing for Regression Models via the Piecewise Local Linear Regression Estimation," with Anurag N. Banerjee.
• "Bootstrap Inference on Matched-Sample Indirect Inference Estimation."
• "Two-Sample Estimation of Quantile Regression Models."
• "Alternative Approximations to Nonparametric Estimators for Functional-Coefficient Cointegration Models with Persistent Errors and/or Transition Variables."

Teaching

• Academic Year 2017

Undergraduate (Spring)		Macroeconomics I	Course Web Page (Japanese only)
Undergraduate (Spring)		Statistics	Course Web Page (Japanese only)
Undergraduate (Autumn)		Industrial Organization	Course Web Page (Japanese only)
Undergraduate (Autumn)		Modern Finance	Course Web Page (Japanese only)
Undergraduate (Autumn)		Econometrics	Course Web Page (Japanese only)

Other Interest - Kendo (The Art of Japanese Fencing)

I have practiced kendo for more than twenty years in Japan, Canada and the US. I now hold the ranking of 5 dan, and have a regular practice at Renshinkai (a local kendo dojo) in Kyoto. Here are some useful links for you to know more about kendo:

• Organizations
• International Kendo Federation
• All Japan Kendo Federation
• All United States Kendo Federation
• Canadian Kendo Federation
• Dojo/Clubs Where I Practiced Kendo in the Past
• Choyokan Kendo Dojo, Des Plaines, IL, USA (from 2007 until 2010)
• McGill University Kendo Club, Montreal, QC, Canada (from 2004 until 2007)
• University of Wisconsin Kendo Club, Madison, WI, USA (from 2001 until 2004)