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TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD
Otsu, Taisuke,Whang, Yoon-Jae Cambridge University Press 2011 ECONOMETRIC THEORY Vol.27 No.1
<P>We propose nonnested tests for competing conditional moment restriction models using the method of conditional empirical likelihood, recently developed by Kitamura, Tripathi, and Ahn (2004) and Zhang and Gijbels (2003). To define the test statistics, we use the implied conditional probabilities from conditional empirical likelihood, which take into account the full implications of conditional moment restrictions. We propose three types of nonnested tests: the moment-encompassing, Cox-type, and efficient score-encompassing tests. We derive the asymptotic null distributions and investigate their power properties against a sequence of local alternatives and a fixed global alternative. Our tests have distinct global power properties from some of the existing tests based on finite-dimensional unconditional moment restrictions. Simulation experiments show that our tests have reasonable finite sample properties and dominate some of the existing nonnested tests in terms of size-corrected powers.</P>
A Comparative Estimation of Financial Frictions in Japan and Korea
Keisuke Otsu,Hak K. Pyo 서울대학교 경제연구소 2009 Seoul journal of economics Vol.22 No.1
We apply the Business Cycle Accounting method a la Chari, Kehoe, and McGrattan (2007) to the Japanese and the Korean economy and quantitatively analyze the effects of financial frictions during the recent recessions. First, we compute exogenous distortions in the financial, government purchases, labor, and production markets. The preliminary results show that the sudden drop in production efficiency (TFP) was the main reason of the Korean recession while the increase in labor market distortions was the main reason of the Japanese slump. Next, we orthogonalize the innovations to the distortions and quantify the maximum spill-over effects of financial frictions on output fluctuations in both countries following Christiano and Davis (2006). Our results imply that financial frictions may have been important in explaining the recessions in both countries through their effects on TFP and labor market distortions.
A Realization of Determinant Criterion for STTC Design
Tatsuki FUKUDA,Shingo OTSU,Yuta TOKUNAGA,Hua-An ZHAO 대한전자공학회 2008 ITC-CSCC :International Technical Conference on Ci Vol.2008 No.7
In a MIMO (Multiple-Input Multiple-Output) system, space-time trellis coding (STTC) is one kind of space-time coding technique which can obtain both of high diversity and coding gain. In this paper, we propose a highspeed algorithm to solve the determinant calculations in determinant criterion of STTC. Some experimental results indicate that this algorithm is very available for developing an effective signaling scheme of space-time trellis codes.
Catovic, Amer,Tekinay, Sirin,Otsu, Toru The Korea Institute of Information and Commucation 2002 Journal of communications and networks Vol.4 No.4
In this paper, we introduce a new approach to the minimum energy routing (MER) for next generation (NG) multihop wireless networks. We remove the widely used assumption of deterministic, distance-based channel model is removed, and analyze the potentials of MER within the context of the realistic channel model, accounting for shadowing and fading. Rather than adopting the conventional unrealistic assumption of perfect power control in a distributed multihop environment, we propose to exploit inherent spatial diversity of mobile terminals (MT) in NG multihop networks and to combat fading using transmit diversity. We propose the cooperation among MTs, whereby couples of MTs cooperate with each other in order to transmit the signal using two MTs as two transmit antennas. We provide the analytical framework for the performance analysis of this scheme in terms of the feasibility and achievable transmit power reduction. Our simulation result indicate that significant gains can be achieved in terms of the reduction of total transmit power and extension of network lifetime. These gains are in the range of 20-100% for the total transmit power, and 25-90% for the network lifetime, depending on the desired error probability. We show that our analytical results provide excellent match with our simulation results. The messaging load generated by our scheme is moderate, and can be further optimized. Our approach opens the way to a new family of channel-aware routing schemes for multihopNG wireless networks in fading channels. It is particularly suitable for delivering multicast/ geocast services in these networks.
The Credit Spread and U.S. Business Cycles
Junsang Lee,Keisuke Otsu 한국경제연구학회 2017 Korea and the World Economy Vol.18 No.1
In this paper, we constructed a dynamic stochastic general equilibrium model with credit spread, government expenditure, productivity, investment specific technology and preference shocks in order to quantitatively account for the U.S. business cycle fluctuations through 1985-2014. We find that fluctuations in productivity and preference shocks are important in accounting for the fluctuations in output while investment specific technology shocks are important in accounting for the fluctuations in the investment rate. Moreover, credit spread shocks play a significant role in the decline in output and investment rate during the recent financial crisis. Therefore, in our environment, unlike Chari, Kehoe and McGrattan (2007), the intertemporal distortions caused by financial frictions do matter.