Research

Working papers

• "Inference on effect size after multiple hypothesis testing," (Andreas Dzemski, Ryo Okui, and Wenjie Wang), March 2025

• "Location Characteristics of Conditional Selective Confidence Intervals via Polyhedral Methods," (Andreas Dzemski, Ryo Okui, and Wenjie Wang), September 2025

• "Uniform Confidence Band for Marginal Treatment Effect Function," (Toshiki Tsuda, Yanchun Jin, and Ryo Okui), September 2025

• "Recovering latent linkage structures and spillover effects with structural breaks in panel data models," (Ryo Okui, Yutao Sun, and Wendun Wang), January 2025

• "Latent group structure in linear panel data models with endogenous regressors," (Junho Choi and Ryo Okui), May 2024

  • Supplemental materials

• "Instrumental Variables Estimation for Infinite Order Panel Autoregressive Processes," (Yoon-Jin Lee, Ryo Okui and Mototsugu Shintani), February 2023

  • Supplemental materials

• "Can information alleviate overconfidence? A randomized experiment on financial market predictions," (Takanori Ida and Ryo Okui), April 2025

  • Supplemental materials

• "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," (Haruo Iwakura and Ryo Okui), February 2014

Publications

Refereed Journal Articles in English

• "Network-Motivated Forbearance Lending, (Yoshiaki Ogura, Ryo Okui and Yukiko Umeno Saito), Management Science, accepted, March 2025

  • Working paper version

  • Online Appendix

• "Belief Formation Under Signal Correlation," (Tanjim Hossain and Ryo Okui),  Games and Economic Behavior (2024), 146: 160-183

  • Working paper version

  • Supplemental materials

• "Confidence Set for Group Membership," (Andreas Dzemski and Ryo Okui),  Quantitative Economics (2024), 15(2): 245-277

  • Working paper version

  • Supplemental materials

  • Replication Files

• "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

  • Working paper version

  • Supplementary Appendix

  • Online Supplement

  • Replication files

• "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

  • Working paper version

  • Replication file (in R)

• "Heterogeneous Structural Breaks in Panel Data Models," (Ryo Okui and Wendun Wang), Journal of Econometrics (2021), 220: 447-473

  • Supplemental Materials

  • Replication files

• "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 

  • Replication files

• "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.

  • Supplemental materials

• "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.

  • Supplemental materials

  • Matlab code

• "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.

  • Matlab code

• "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,

  • Ox code for the application

• "Instrumental Variable Estimation in the Presence of Many Moment Conditions," Journal of Econometrics (2011), 165: 70-86,

  • Supplemental materials

• "Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations for Panel Data with Incidental Trends," Economics Letters (2011), 112: 49-52,

  • Appendix

• "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,

  • Matlab code, Ox code

• "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,

  • Sample Ox code

• "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)