Research (Japanese)
● Home
● Econometric Workshop (please send an
e-mail to nagakura@z7.keio.jp if you are interested in presenting a paper in
this WS.)
Published and Forthcoming Papers
14. "Testing
for Random Coefficient Autoregressive and Stochastic Unit Root Models",
Studies in Nonlinear Dynamics and
Econometrics, 2023, Vol. 27(1), pp. 117-129. [SSRN]
13. "Computing Exact Score Vectors for Linear Gaussian State Space Models", Communications in Statistics - Simulation and Computation, 2021, Vol. 50(8), pp. 2313-2326. [SSRN]
12. "Further
Results on the vecd Operator and Its Applications", Communications in Statistics - Theory and
Methods, 2020, Vol.
49(10), pp. 2321-2338. [SSRN]
11. "On the Relationship between
the Matrix Operators, vech and vecd", Communications in Statistics - Theory and Methods, 2018, Vol. 47(13), pp. 3252-3268. (List of typos. See also the working
paper version without typos)
10. "A
State Space Approach to Estimating the Integrated Variance under the Existence
of Market Microstructure Noise" (with Toshiaki Watanabe), Journal of Financial Econometrics,
2015, Vol. 13(1), pp. 45-82.
9. "Asymmetry
in Government Bond Returns" (with Ippei
Fujiwara and Lena M. Körber), Journal of Banking and Finance, 2013,
Vol. 37(8), pp. 3218-3226.
8. "Explicit Vector Expression of Exact Score for Time Series Models in State Space Form", Statistical Methodology, 2013, Vol. 13, pp.69-74.
7. "Spurious Regressions in Technical Trading" (with Mototsugu Shintani and Tomoyoshi Yabu), Journal of Econometrics, 2012, Vol. 169 (2), pp. 301-309. [See IMES Discussion Paper Series, 2008-E-09 for the proofs of Theorems].
6. "Asymptotic Theory for Explosive Random Coefficient Autoregressive Models and Inconsistency of a Unit Root Test against a Stochastic Unit Root Process", Statistics and Probability Letters, 2009, Vol. 79 (24), pp. 2476-2483.
5. "Testing the Sequential Logit Model against the Nested Logit Model" (with Masahito Kobayashi), Japanese Economic Review, 2009, Vol. 60 (3), pp. 345-361.
4. "Testing
for Coefficient Stability of AR(1) Model When the Null is an Integrated or a
Stationary Process", Journal
of Statistical Planning and Inference, 2009, Vol. 139 (8), pp.
2731-2745.
3. "A Note
on the Relationship Between the Information Matrix Test and a Score Test for
Parameter Constancy", Economics
Bulletin, 2008, Vol. 3, No. 5, pp. 1-7.
2. "A Note on the Two Assumptions of Standard Unobserved Components Models", Economics Letters, 2008, Vol. 100 (1), pp. 123-125.
1. "A Note on the Relationship of the Ordered and Sequential Probit Models to the Multinomial Probit Model", Economics Bulletin, 2004, Vol. 3, No. 40, pp. 1-7.
Working Papers/Work in Progress
8. "Positive definiteness of the asymptotic covariance matrix of OLS estimators in parsimonious regressions”
7. "Implications of Two Measures of Persistence for Correlation between Permanent and Transitory Shocks in Unobserved Components Models", (with Eric Zivot).
6. "Testing for A Unit Root Against A Stochastic Unit Root".
5. "State Space Method for the Quadratic Estimator of the Integrated Variance in the Presence of Market Microstructure Noise" (with Toshiaki Watanabe).
4. "Comparison of Several Estimators with Less Finite Sample Biases for the Sum of AR Coefficients".
3. "A Plug-in Type Break Test for Trend with an Integrated or a Stationary Noise Component".
2. "A Bootstrap Method for Autoregressive Process Possibly Containing A Unit Root".
1. "Bootstrap Bias Correction for Functions of the Integrated Variance"
Miscellanea
2. "How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models", [Global COE Hi-Stat Discussion Paper Series No. 172, IMES Discussion Paper Series, 2008-E-24].
1. "How to Impose
Stationarity and Invertibility Conditions in ARMA Model Estimation? Jones’s
Transformation and Some Related Issues", [SSRN].