Research output per year
Research output per year
Research output
- 24 Article
- 24 results
Search results
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2024
Revealing priors from posteriors with an application to inflation forecasting in the UK
Ikefuji, M., Magnus, J. & Yamagata, T., 1 Jan 2024, In: Econometrics Journal. 27, 1, p. 151-170 20 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
2023
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. H. & Yamagata, T., 10 Feb 2023, (E-pub ahead of print) In: Journal of Financial Econometrics. 54 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
2022
A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity in linear models with interactive effects for large panel data
Cui, G., Hayakawa, K., Nagata, S. & Yamagata, T., 7 Jul 2022, (E-pub ahead of print) In: Journal of Business and Economic Statistics. 14 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Estimation of Sparsity-Induced Weak Factor Models
Uematsu, Y. & Yamagata, T., 10 Jan 2022, (E-pub ahead of print) In: Journal of Business and Economic Statistics. 15 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk
Cui, G., Sarafidis, V. & Yamagata, T., 22 Nov 2022, (E-pub ahead of print) In: Econometrics Journal. 23 p., utac026.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
Cui, G., Norkute, M., Sarafidis, V. & Yamagata, T., 1 May 2022, In: Econometrics Journal. 25, 2, p. 340–361 22 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
2021
Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions
Smith, L. V., Tarui, N. & Yamagata, T., 1 May 2021, In: Energy economics. 97, 19 p., 105170.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Inference in Sparsity-Induced Weak Factor Models
Uematsu, Y. & Yamagata, T., 27 Dec 2021, (E-pub ahead of print) In: Journal of Business and Economic Statistics. 15 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure
Norkute, M., Sarafidis, V., Yamagata, T. & Cui, G., 1 Feb 2021, In: Journal of Econometrics. 220, 2, p. 416-446 31 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
2017
A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models
Halunga, A., Orme, C. & Yamagata, T., 1 Jun 2017, In: Journal of Econometrics. 198, 2, p. 209-230 22 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
2013
A Heteroskedasticity-Robust F-Test Statistic for Individual Effects
Orme, C. & Yamagata, T., 9 Aug 2013, (E-pub ahead of print) In: Econometric Reviews. 33, 5-6, p. 431-471Research output: Contribution to journal › Article › peer-review
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. H., Smith, L. V. & Yamagata, T., Aug 2013, In: Journal of Econometrics. 175, 2, p. 94–115 22 p.Research output: Contribution to journal › Article › peer-review
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2011
Firm level return–volatility analysis using dynamic panels
Smith, L. V. & Yamagata, T., Dec 2011, In: Journal of empirical finance. 18, 5, p. 847–867 21 p.Research output: Contribution to journal › Article › peer-review
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Panels with Non-stationary Multifactor Error Structures
Kapetanios, G., Pesaran, M. H. & Yamagata, T., Feb 2011, In: Journal of Econometrics. 160, 2, p. 326-348 23 p.Research output: Contribution to journal › Article › peer-review
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The spatial and temporal diffusion of house prices in the UK
Holly, S., Hashem Pesaran, M. & Yamagata, T., Jan 2011, In: Journal of Urban Economics. 69, 1, p. 2-23 22 p.Research output: Contribution to journal › Article › peer-review
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2010
A spatio-temporal model of house prices in the USA
Holly, S., Pesaran, M. H. & Yamagata, T., Sept 2010, In: Journal of Econometrics. 158, 1, p. 160-173 14 p.Research output: Contribution to journal › Article › peer-review
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2009
A test of cross section dependence for a linear dynamic panel model with regressors
Sarafidisa, V., Yamagata, T. & Robertson, D., Feb 2009, In: Journal of Econometrics. 148, 2, p. 149-161 13 p.Research output: Contribution to journal › Article › peer-review
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Pairwise Tests of Purchasing Power Parity
Pesaran, M. H., Smith, R. P., Yamagata, T. & Hvozdyk, L., 2009, In: Econometric Reviews. 28, 6, p. 495-521 27 p.Research output: Contribution to journal › Article › peer-review
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2008
A Bias-Adjusted LM Test of Error Cross Section Independence
Pesaran, M. H., Ullah, A. & Yamagata, T., Feb 2008, In: Econometrics Journal. 11, 1, p. 105-127 23 p.Research output: Contribution to journal › Article › peer-review
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A Joint Serial Correlation Test for Linear Panel Data Models
Yamagata, T., Sept 2008, In: Journal of Econometrics. 146, 1, p. 135-145 11 p.Research output: Contribution to journal › Article › peer-review
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Testing Slope Homogeneity in Large Panels
Hashem Pesaran, M. & Yamagata, T., Jan 2008, In: Journal of Econometrics. 142, 1, p. 50-93 44 p.Research output: Contribution to journal › Article › peer-review
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2006
The asymptotic distribution of the F-test statistic for individual effects
Orme, C. D. & Yamagata, T., Sept 2006, In: Econometrics Journal. 9, 3, p. 404-422 18 p.Research output: Contribution to journal › Article › peer-review
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The small sample performance of the Wald test in the sample selection model under the multicollinearity problem
Yamagata, T., Oct 2006, In: Economics Letters. 93, 1, p. 75-81 6 p.Research output: Contribution to journal › Article › peer-review
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2005
On testing sample selection bias under the multicollinearity problem
Yamagata, T. & Orme, C. D., Oct 2005, In: Econometric Reviews. 24, 4, p. 467-481 14 p.Research output: Contribution to journal › Article › peer-review