Tomohiro Ando

Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks

Tomohiro Ando

Journal article  |  2021  |  Management Science

We develop a new technique to estimate vector autoregressions with a common factor error structure by quantile regression. We appl..

Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity

T Ando, J Bai, K Li

Journal article  |  2021  |  Journal of Econometrics

This paper considers the estimation and inference procedures for the case of a logistic panel regression model with interactive fi..

CFEnetwork: The annals of computational and financial econometrics, 5th issue

T Ando, E Kontoghiorghes, P Winker

Journal article  |  2020  |  Econometrics and Statistics

Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity

Tomohiro Ando, Jushan Bai

Journal article  |  2020  |  Journal of the American Statistical Association

This article introduces a new procedure for analyzing the quantile co-movement of a large number of financial time series based on..

Regularization parameter selection for penalized empirical likelihood estimator

Tomohiro Ando, Naoya Sueishi

Journal article  |  2019  |  Economics Letters

Penalized estimation is a useful technique for variable selection when the number of candidate variables is large. A crucial issue..

On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator

Tomohiro Ando, Naoya Sueishi

Journal article  |  2019  |  Econometrics

This paper investigates the asymptotic properties of a penalized empirical likelihood estimator for moment restriction models when..

Merchant selection and pricing strategy for a platform firm in the online group buying market

Tomohiro Ando

Journal article  |  2018  |  ANNALS OF OPERATIONS RESEARCH

The online group-buying market is characterized by intense competition between brokers, called platform firms, which function as i..

Stock return predictability: A factor-augmented predictive regression system with shrinkage method

S Ohno, T Ando

Journal article  |  2018  |  Econometric Reviews

To predict stock market behaviors, we use a factor-augmented predictive regression with shrinkage to incorporate the information a..

Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency

T Ando, J Bai

Journal article  |  2018  |  Econometric Reviews

This article considers panel data models in the presence of a large number of potential predictors and unobservable common factors..

A WEIGHT-RELAXED MODEL AVERAGING APPROACH FOR HIGH-DIMENSIONAL GENERALIZED LINEAR MODELS

Tomohiro Ando, Ker-Chau Li

Journal article  |  2017  |  ANNALS OF STATISTICS

Model averaging has long been proposed as a powerful alternative to model selection in regression analysis. However, how well it p..