Research
Published/accepted papers:
Debopam Bhattacharya, Pascaline Dupas & Shin Kanaya (2024) Demand and welfare analysis in discrete choice models with social interactions. The Review of Economic Studies 91, 748–784. Link
Debopam Bhattacharya, Shin Kanaya & Margaret Stevens (2017) Are university admissions academically fair? The Review of Economics and Statistics 99, 449-464. Link
Shin Kanaya (2017) Convergence rates of sums of α-mixing triangular arrays: With an application to nonparametric drift function estimation of continuous-time processes, Econometric Theory 33, 1121-1153. Link
Shin Kanaya (2017) Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: A damping function approach, Econometric Theory 33, 874-914. Link
Shin Kanaya & Dennis Kristensen (2016) Estimation of stochastic volatility models by nonparametric filtering, Econometric Theory 32, 861-916. Link
Jiti Gao, Shin Kanaya, Degui Li & Dag Tjøstheim (2015) Uniform consistency for nonparametric estimators in null recurrent time series, Econometric Theory 31, 911-952. Link
Shin Kanaya & Taisuke Otsu (2012) Large deviations for realized volatility, Stochastic Processes and their Applications 122, 546-581. Link
Unpublished manuscripts, work-in-progress projects:
1. Type I and type II error probabilities in the courtroom, with Luke Taylor (University of Aarhus). Link (May 2020 working paper)
2. Uniform convergence of smoothed distribution functions with an application to Delta method for the Lorenz curve, with Debopam Bhattacharya (University of Cambridge). Preliminary draft (Dec 2017, comments welcome).
3. Asymptotic properties of kernel estimators of multivariate diffusion processes, with Dennis Kristensen (University College London).
4. Nonparametric estimation for decomposable data possibly with mixed-frequency observations.
5. Moduli of continuity of Brownian motion and related processes over an expanding time interval, with Jihyun Kim (Toulouse School of Economics) & Joon Y. Park (Indiana University).
6. Adaptive inference in continuous-time asset pricing factor models, with Dennis Kristensen (University College London) & Yang Zu (University of Nottingham).
7. Uniform convergence rates of kernel estimators with nonstationary regressors and autocorrelated errors, with Dennis Kristensen (University College London).
8. Non-parametric specification testing for continuous-time Markov processes: Do processes follow diffusions?
9. A nonparametric test for stationarity in continuous-time Markov processes.
10. An ambiguity-free asset and its bid-ask spread under maxi-min expected utility, with Takao Asano (Okayama University) & Satoru Takahashi (National Singapore University), revision requested, under revision.