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Details about Atsushi Inoue

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Workplace:Department of Economics, Vanderbilt University, (more information at EDIRC)

Access statistics for papers by Atsushi Inoue.

Last updated 2014-08-07. Update your information in the RePEc Author Service.

Short-id: pin18


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Working Papers

2014

  1. Joint Confidence Sets for Structural Impulse Responses
    Departmental Working Papers, Southern Methodist University, Department of Economics Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (1)
  2. Quasi-Bayesian Model Selection
    Departmental Working Papers, Southern Methodist University, Department of Economics Downloads

2013

  1. Heterogeneous Consumers and Fiscal Policy Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) Downloads
  2. Inference on Impulse Response Functions in Structural VAR Models
    TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University Downloads View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2013)
  3. Tests for Parameter Instability in Dynamic Factor Models
    TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University Downloads View citations (4)
  4. Zero Lower Bound and Parameter Bias in an Estimated DSGE Model
    TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University Downloads
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) Downloads
    UTokyo Price Project Working Paper Series, University of Tokyo, Graduate School of Economics (2013) Downloads
    Departmental Working Papers, Southern Methodist University, Department of Economics (2013) Downloads

2012

  1. Out-of-sample forecast tests robust to the choice of window size
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (10)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (3)

    See also Journal Article in Journal of Business & Economic Statistics (2012)

2011

  1. Out-of-Sample Forecast Tests Robust to Window Size Choice
    Working Papers, Duke University, Department of Economics Downloads View citations (5)

2010

  1. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    Also in Working Papers, Duke University, Department of Economics (2007) Downloads View citations (16)
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester (2009) Downloads View citations (1)
    Working Paper, Federal Reserve Bank of Atlanta (2007) Downloads View citations (29)

    See also Journal Article in Journal of Econometrics (2012)
  2. Testing for Weak Identification in Possibly Nonlinear Models
    Working Papers, Duke University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2011)

2009

  1. Frequentist Inference in Weakly Identified DSGE Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) Downloads View citations (4)

2008

  1. Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models
    Working Papers, Duke University, Department of Economics Downloads View citations (3)

2007

  1. Information Criteria for Impulse Response Function Matching Estimation
    2007 Meeting Papers, Society for Economic Dynamics View citations (7)

2006

  1. Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006) Downloads View citations (1)

    See also Journal Article in Journal of Money, Credit and Banking (2009)

2005

  1. A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Econometric Theory (2006)
  2. 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 Downloads View citations (11)
  3. Monitoring and Forecasting Currency Crises
    Working Papers, Duke University, Department of Economics Downloads
    See also Journal Article in Journal of Money, Credit and Banking (2008)
  4. The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models
    Econometrics, EconWPA Downloads View citations (14)
    See also Journal Article in Journal of Econometrics (2003)
  5. Two-Sample Instrumental Variables Estimators
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in The Review of Economics and Statistics (2010)

2004

  1. Bagging Time Series Models
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (9)

2003

  1. Bootstrapping GMM Estimators for Time Series
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2006)
  2. On the Selection of Forecasting Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (29)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (8)

    See also Journal Article in Journal of Econometrics (2006)
  3. Recursive Predictability Tests for Real-Time Data
    Working Papers, Duke University, Department of Economics Downloads View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2002

  1. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (66)
    Also in Working Paper Series, European Central Bank (2002) Downloads View citations (35)

    See also Journal Article in Econometric Reviews (2005)

2001

  1. Testing and Comparing Value-at-Risk Measures
    CIRANO Working Papers, CIRANO Downloads View citations (32)
    See also Journal Article in Journal of Empirical Finance (2001)

2000

  1. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (6)
    See also Journal Article in Econometrica (2002)
  2. Long Memory and Regime Switching
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (44)
    See also Journal Article in Journal of Econometrics (2001)

1999

  1. Testing, Comparing, and Combining Value at Risk Measures
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (4)

1997

  1. 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 Downloads View citations (13)

Undated

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

Journal Articles

2013

  1. Frequentist inference in weakly identified dynamic stochastic general equilibrium models: Acronyms must be spelled out in titles for indexing purposes
    Quantitative Economics, 2013, 4, (2), 197-229 Downloads
  2. Inference on impulse response functions in structural VAR models
    Journal of Econometrics, 2013, 177, (1), 1-13 Downloads View citations (9)
    See also Working Paper (2013)

2012

  1. Information criteria for impulse response function matching estimation of DSGE models
    Journal of Econometrics, 2012, 170, (2), 499-518 Downloads View citations (2)
    See also Working Paper (2010)
  2. MEAN-PLUS-NOISE FACTOR MODELS: AN EMPIRICAL EXPLORATION
    The Japanese Economic Review, 2012, 63, (3), 289-309 Downloads
  3. Out-of-Sample Forecast Tests Robust to the Choice of Window Size
    Journal of Business & Economic Statistics, 2012, 30, (3), 432-453 Downloads View citations (13)
    See also Working Paper (2012)

2011

  1. Identifying the Sources of Instabilities in Macroeconomic Fluctuations
    The Review of Economics and Statistics, 2011, 93, (4), 1186-1204 Downloads View citations (18)
  2. Testing for weak identification in possibly nonlinear models
    Journal of Econometrics, 2011, 161, (2), 246-261 Downloads View citations (6)
    See also Working Paper (2010)

2010

  1. Two-Sample Instrumental Variables Estimators
    The Review of Economics and Statistics, 2010, 92, (3), 557-561 Downloads View citations (32)
    See also Working Paper (2005)

2009

  1. Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data
    Journal of Money, Credit and Banking, 2009, 41, (7), 1331-1363 Downloads View citations (4)
    See also Working Paper (2006)

2008

  1. Efficient estimation and inference in linear pseudo-panel data models
    Journal of Econometrics, 2008, 142, (1), 449-466 Downloads View citations (2)
  2. Entropy-Based Moment Selection in the Presence of Weak Identification
    Econometric Reviews, 2008, 27, (4-6), 398-427 Downloads
  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 Downloads View citations (16)
  4. Monitoring and Forecasting Currency Crises
    Journal of Money, Credit and Banking, 2008, 40, (2-3), 523-534 Downloads View citations (4)
    See also Working Paper (2005)

2007

  1. 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 Downloads
  2. Information in generalized method of moments estimation and entropy-based moment selection
    Journal of Econometrics, 2007, 138, (2), 488-512 Downloads View citations (18)

2006

  1. A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
    Econometric Theory, 2006, 22, (05), 835-851 Downloads View citations (6)
    See also Working Paper (2005)
  2. A bootstrap approach to moment selection
    Econometrics Journal, 2006, 9, (1), 48-75 Downloads View citations (5)
  3. Bootstrapping GMM estimators for time series
    Journal of Econometrics, 2006, 133, (2), 531-555 Downloads View citations (32)
    See also Working Paper (2003)
  4. On the selection of forecasting models
    Journal of Econometrics, 2006, 130, (2), 273-306 Downloads View citations (48)
    See also Working Paper (2003)
  5. Testing for the principal’s monopsony power in agency contracts
    Empirical Economics, 2006, 31, (3), 717-734 Downloads

2005

  1. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    Econometric Reviews, 2005, 23, (4), 371-402 Downloads View citations (8)
    See also Working Paper (2002)
  2. Recursive Predictability Tests for Real-Time Data
    Journal of Business & Economic Statistics, 2005, 23, 336-345 Downloads View citations (17)
    See also Working Paper (2003)

2003

  1. 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 Downloads View citations (3)
  2. 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 Downloads View citations (9)
  3. The large sample behaviour of the generalized method of moments estimator in misspecified models
    Journal of Econometrics, 2003, 114, (2), 361-394 Downloads View citations (26)
    See also Working Paper (2005)

2002

  1. A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
    Econometric Reviews, 2002, 21, (3), 309-336 Downloads View citations (18)
  2. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometrica, 2002, 70, (1), 377-391 Downloads View citations (55)
    See also Working Paper (2000)
  3. Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models
    International Economic Review, 2002, 43, (2), 309-332 Downloads View citations (15)
  4. Identifying the sign of the slope of a monotonic function via OLS
    Economics Letters, 2002, 75, (3), 419-424 Downloads View citations (1)

2001

  1. Long memory and regime switching
    Journal of Econometrics, 2001, 105, (1), 131-159 Downloads View citations (339)
    See also Working Paper (2000)
  2. TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
    Econometric Theory, 2001, 17, (01), 156-187 Downloads View citations (23)
  3. Testing and comparing Value-at-Risk measures
    Journal of Empirical Finance, 2001, 8, (3), 325-342 Downloads View citations (41)
    See also Working Paper (2001)

1999

  1. Tests of cointegrating rank with a trend-break
    Journal of Econometrics, 1999, 90, (2), 215-237 Downloads View citations (36)

1996

  1. Software review
    International Journal of Forecasting, 1996, 12, (2), 309-315 Downloads View citations (1)

1993

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