Tetsuya Kaji
I am Associate Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. I work at the intersections of economics, statistics, and machine learning.
Working Papers
A Necessary and Sufficient Condition for Convergence in Distribution of P-P Process in L1(0,1) (with Brendan Beare)
Assessing Heterogeneity of Treatment Effects (with Jianfei Cao)
Controlling Tail Risk Measures with Estimation Error (with Hyungjune Kang)
Publications
A Necessary and Sufficient Condition for Convergence in Distribution of Quantile Process in L1(0,1)
Bernoulli, accepted, 2026 (with Brendan Beare). [Preprint]
Why Do the Elderly Save? Using Health Shocks to Uncover Bequests Motives
Japanese Economic Review, forthcoming, 2026 (with Elena Manresa). [Preprint]
The Hellinger Bounds on the Kullback-Leibler Divergence and the Bernstein Norm
Japanese Economic Review, forthcoming, 2026. [Preprint]
An Adversarial Approach to Structural Estimation
Econometrica, 91(6), 2041−2063, November 2023 (with Elena Manresa and Guillaume Pouliot). [Preprint] [Online Appendix] [Code] [Chicago Booth Review]
Metropolis-Hastings via Classification
Journal of the American Statistical Association, 118(544), 2533−2547, 2023 (with Veronika Ročková). [Preprint] [Online Appendix]
Approximate Bayesian Computation via Classification
Journal of Machine Learning Research, 23(350), 1−49, 2022 (with Yuexi Wang and Veronika Ročková). [Preprint]
Adversarial Inference Is Efficient
AEA Papers and Proceedings, 111, 621−625, May 2021 (with Elena Manresa and Guillaume Pouliot). [Online Appendix]
Theory of Weak Identification in Semiparametric Models
Econometrica, 89(2), 733−763, March 2021. [Preprint] [Code]
Extremal Quantile Regression
Handbook of Quantile Regression, ed. by R. Koenker, V. Chernozhukov, X. He, and L. Peng, Chapman & Hall/CRC, 2017, ch. 18, 333−362 (with Victor Chernozhukov and Iván Fernández-Val). [Preprint] [Code]