Details about Atsushi Inoue

Access statistics for papers by Atsushi Inoue.

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Short-id: pin18

Working Papers

2008

1. Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models
   Working Papers, Duke University, Department of Economics

2007

2. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
   Working Papers, Duke University, Department of Economics View citations
   Also in Working Paper, Federal Reserve Bank of Atlanta (2007) View citations

2006

3. Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006)

2005

4. A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
   NBER Technical Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article in Econometric Theory (2006)
5. How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
6. Monitoring and Forecasting Currency Crises
   Working Papers, Duke University, Department of Economics
   See also Journal Article in Journal of Money, Credit and Banking (2008)
7. The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models
   Econometrics, EconWPA View citations
   See also Journal Article in Journal of Econometrics (2003)
8. Two-Sample Instrumental Variables Estimators
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations

2004

9. Bagging Time Series Models
   Econometric Society 2004 North American Summer Meetings, Econometric Society View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations

2003

10. Bootstrapping GMM Estimators for Time Series
    Working Papers, Department of Economics, Vanderbilt University View citations
    See also Journal Article in Journal of Econometrics (2006)
11. On the Selection of Forecasting Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Paper Series, European Central Bank (2003) View citations
    See also Journal Article in Journal of Econometrics (2006)
12. Recursive Predictability Tests for Real-Time Data
    Working Papers, Duke University, Department of Economics View citations
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2002

13. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Paper Series, European Central Bank (2002) View citations

2001

14. Testing and Comparing Value-at-Risk Measures
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Empirical Finance (2001)

2000

15. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    See also Journal Article in Econometrica (2002)
16. Long Memory and Regime Switching
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Econometrics (2001)

1999

17. Testing, Comparing, and Combining Value at Risk Measures
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations

1997

18. Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations

Undated

19. Stamp 5.0: A Review
    Home Pages, University of Pennsylvania
20. Testing Change in Time Series
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2008

1. Efficient estimation and inference in linear pseudo-panel data models
   Journal of Econometrics, 2008, 142, (1), 449-466
2. Entropy-Based Moment Selection in the Presence of Weak Identification
   Econometric Reviews, 2008, 27, (4-6), 398-427
3. How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
   Journal of the American Statistical Association, 2008, 103, 511-522
4. Monitoring and Forecasting Currency Crises
   Journal of Money, Credit and Banking, 2008, 40, (2-3), 523-534 View citations
   See also Working Paper (2005)

2007

5. Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394]
   Journal of Econometrics, 2007, 141, (2), 1417-1418
6. Information in generalized method of moments estimation and entropy-based moment selection
   Journal of Econometrics, 2007, 138, (2), 488-512 View citations

2006

7. A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
   Econometric Theory, 2006, 22, (05), 835-851
   See also Working Paper (2005)
8. A bootstrap approach to moment selection
   Econometrics Journal, 2006, 9, (1), 48-75 View citations
9. Bootstrapping GMM estimators for time series
   Journal of Econometrics, 2006, 133, (2), 531-555 View citations
   See also Working Paper (2003)
10. On the selection of forecasting models
    Journal of Econometrics, 2006, 130, (2), 273-306 View citations
    See also Working Paper (2003)
11. Testing for the principal’s monopsony power in agency contracts
    Empirical Economics, 2006, 31, (3), 717-734

2005

12. Recursive Predictability Tests for Real-Time Data
    Journal of Business & Economic Statistics, 2005, 23, 336-345 View citations
    See also Working Paper (2003)

2003

13. COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY
    Econometric Theory, 2003, 19, (06), 962-983 View citations
14. THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP
    Econometric Theory, 2003, 19, (06), 944-961 View citations
15. The large sample behaviour of the generalized method of moments estimator in misspecified models
    Journal of Econometrics, 2003, 114, (2), 361-394 View citations
    See also Working Paper (2005)

2002

16. A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
    Econometric Reviews, 2002, 21, (3), 309-336 View citations
17. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometrica, 2002, 70, (1), 377-391 View citations
    See also Working Paper (2000)
18. Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models
    International Economic Review, 2002, 43, (2), 309-332 View citations
19. Identifying the sign of the slope of a monotonic function via OLS
    Economics Letters, 2002, 75, (3), 419-424 View citations

2001

20. Long memory and regime switching
    Journal of Econometrics, 2001, 105, (1), 131-159 View citations
    See also Working Paper (2000)
21. TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
    Econometric Theory, 2001, 17, (01), 156-187 View citations
22. Testing and comparing Value-at-Risk measures
    Journal of Empirical Finance, 2001, 8, (3), 325-342 View citations
    See also Working Paper (2001)

1999

23. Tests of cointegrating rank with a trend-break
    Journal of Econometrics, 1999, 90, (2), 215-237 View citations

1996

24. Software review
    International Journal of Forecasting, 1996, 12, (2), 309-315 View citations

1993

25. The Stability of the Japanese Banking System: A Historical Perspective
    Journal of the Japanese and International Economies, 1993, 7, (4), 387-407 View citations