Research
Working papers
"Latent group structure in linear panel data models with endogenous regressors," (Junho Choi and Ryo Okui), May 2024
"Instrumental Variables Estimation for Infinite Order Panel Autoregressive Processes," (Yoon-Jin Lee, Ryo Okui and Mototsugu Shintani), February 2023
"Can information alleviate overconfidence? A randomized experiment on financial market predictions," (Takanori Ida and Ryo Okui), April 2020
"Network-Motivated Forbearance Lending," (Yoshiaki Ogura, Ryo Okui and Yukiko Umeno Saito), June 2024
"Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," (Haruo Iwakura and Ryo Okui), February 2014
Publications
Refereed Journal Articles in English
"Belief Formation Under Signal Correlation," (Tanjim Hossain and Ryo Okui), Games and Economic Behavior (2024), 146: 160-183
"Confidence Set for Group Membership," (Andreas Dzemski and Ryo Okui), Quantitative Economics (2024), 15(2): 245-277
"Estimation of panel group structure models with structural breaks in group memberships and coefficients," (Robin L. Lumsdaine, Ryo Okui and Wendun Wang), Journal of Econometrics (2023), 233(1): 45-65
"Convergence rate of estimators of clustered panel models with misclassification," (Andreas Dzemski and Ryo Okui), Economics Letters (2021), 203:109844
"A moment inequality approach to statistical inference for rankings," Japanese Economic Review (2021), 72:169-184
"Heterogeneous Structural Breaks in Panel Data Models," (Ryo Okui and Wendun Wang), Journal of Econometrics (2021), 220: 447-473
"Grouping and clustering methods in econometrics," Korean Economic Journal, (2020), 59(2): 87-106
"Testing for Overconfidence Statistically: A Moment Inequality Approach," (Yanchun Jin and Ryo Okui), Journal of Applied Econometrics (2020), 35: 879-892
"On The Sparsity of Mallows’ Model Averaging Estimator," (Feng, Yang, Qingfeng Liu and Ryo Okui), Economics Letters (2020), 187: 108916
"Kernel Estimation for Panel Data with Heterogeneous Dynamics," (Ryo Okui and Takahide Yanagi), Econometrics Journal (2020), 23: 156-175
R-package: CRAN, GitHub. See also Takashide Yanagi's webpage
STATA module: PANELHETERO by Takahide Yanagi, Ryo Okui, Heejun Lee, Yue Yu and Sophie Li
"Panel Data Analysis with Heterogeneous Dynamics," (Ryo Okui and Takahide Yanagi), Journal of Econometrics (2019), 212(2): 451-475.
R-package: CRAN, GitHub. See also Takashide Yanagi's webpage
STATA module: PANELHETERO by Takahide Yanagi, Ryo Okui, Heejun Lee, Yue Yu and Sophie Li
"Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes," (Yoon-Jin Lee, Ryo Okui and Mototsugu Shintani), Journal of Econometrics (2018), 204(2): 147-158.
"Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function," (Sokbae Lee, Ryo Okui and Yoon-Jae Whang), Journal of Applied Econometrics (2017), 32(7): 1207-1225.
STATA module: DRCATE by Sokbae Lee, Ryo Okui, Yoon-Jae Whang and Heejun Lee
"Misspecification in Dynamic Panel Data Models and Model-free Inferences," Japanese Economic Review (2017), 68(3): 283-304.
"Generalized Least Squares Model Averaging," (Qingfeng Liu, Ryo Okui and Arihiro Yoshimura), Econometric Reviews (2016), 35(8-10): 1692–1752.
"Asymptotically Unbiased Estimation of Autocovariances And Autocorrelations with Panel Data in the Presence of Individual And Time Effects," Journal of Time Series Econometrics (2014), 6(2): 129-181.
"Heteroscedasticity-Robust Cp Model Averaging," (Qingfeng Liu and Ryo Okui), Econometrics Journal (2013), 16(3): 463-472.
"The Binarized Scoring Rule," (Tanjim Hossain and Ryo Okui), Review of Economic Studies (2013), 80(3): 984-1001.
"Hahn-Hausman Test as a Specification Test," (Yoonseok Lee and Ryo Okui), Journal of Econometrics (2012), 167: 133-139
"Doubly Robust Instrumental Variable Regreesion," (Ryo Okui, Dylan Small, Zhiqiang Tan and James Robins), Statistica Sinica (2012), 22: 173-205,
"Instrumental Variable Estimation in the Presence of Many Moment Conditions," Journal of Econometrics (2011), 165: 70-86,
"Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations for Panel Data with Incidental Trends," Economics Letters (2011), 112: 49-52,
"Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Long Panel Data," Econometric Theory (2010), 26: 1263-1304,
"Constructing Optimal Instruments by First Stage Prediction Averaging," (Guido Kuersteiner and Ryo Okui), Econometrica (2010), 78(2): 697-718,
"Shrinkage GMM Estimation in Conditional Moment Restriction Models," Journal of the Japan Statistical Society (2009), 39(2): 239-255,
Supplementary material: Technical appendix
Ox code for the Monte Carlo simulations
"Olympic Athlete Selection," (Yoichi Hizen and Ryo Okui), The B.E. Journal of Economic Analysis & Policy (2009), vol. 9: Iss. 1 (Topics), Article 46
"Testing Serial Correlation in Fixed Effects Regression Models Based on Asymptotically Unbiased Autocorrelation Estimators," Mathematics and Computers in Simulation (2009), 79: 2897-2909,
"The Optimal Choice of Moments in Dynamic Panel Data Models," Journal of Econometrics (2009), 151: 1-16,
Ox code for the Monte Carlo simulations
"Panel AR(1) Estimators under Misspecification," Economics Letters (2008), 101(3): 210-213
"A Puzzling Phenomenon in Semiparametric Estimation Problems with Infinite-Dimensional Nuisance Parameters," (Kohtaro Hitomi, Yoshihiko Nishiyama and Ryo Okui), Econometric Theory (2008), 24: 1717-1728
Refereed Journal Articles in Japanese
"Recent Advancements in Clustering Methods in Econometrics," Journal of the Japan Statistical Society, Japanese Issue (2024), 53(2): 349-372. (in Japanese)
"Recent development in the econometric theory of factor models," Journal of the Japan Statistical Society, Japanese Issue (2014), 43(2): 247-273. (in Japanese)
Non-refereed Journal Articles in Japanese
"Estimation and Testing When the Number of Moment Conditions is Large," The Economic Review (Kyoto University) (2009), 183(2): 55-65. (in Japanese)