Details about Atsushi Inoue

Access statistics for papers by Atsushi Inoue.

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Short-id: pin18

Working Papers

2011

1. Inference on Impulse Response Functions in Structural VAR Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
2. Out-of-Sample Forecast Tests Robust to Window Size Choice
   Working Papers, Duke University, Department of Economics View citations (4)
3. Out-of-Sample Forecast Tests Robust to the Choice of Window Size
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2011)

2010

4. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
   Working Papers, Duke University, Department of Economics View citations (2)
   Also in Working Papers, Duke University, Department of Economics (2007) View citations (18)
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester (2009) View citations (1)
   Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (28)
5. Testing for Weak Identification in Possibly Nonlinear Models
   Working Papers, Duke University, Department of Economics
   See also Journal Article in Journal of Econometrics (2011)

2009

6. Frequentist Inference in Weakly Identified DSGE Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) View citations (1)

2008

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

2006

8. 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 (3)
   Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006)
   See also Journal Article in Journal of Money, Credit and Banking (2009)

2005

9. 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)
10. 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 (8)
11. Monitoring and Forecasting Currency Crises
    Working Papers, Duke University, Department of Economics
    See also Journal Article in Journal of Money, Credit and Banking (2008)
12. The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models
    Econometrics, EconWPA View citations (19)
    See also Journal Article in Journal of Econometrics (2003)
13. Two-Sample Instrumental Variables Estimators
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article in The Review of Economics and Statistics (2010)

2004

14. Bagging Time Series Models
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (6)

2003

15. Bootstrapping GMM Estimators for Time Series
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics View citations (6)
    See also Journal Article in Journal of Econometrics (2006)
16. On the Selection of Forecasting Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (27)
    Also in Working Paper Series, European Central Bank (2003) View citations (7)
    See also Journal Article in Journal of Econometrics (2006)
17. Recursive Predictability Tests for Real-Time Data
    Working Papers, Duke University, Department of Economics View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2002

18. 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 (48)
    Also in Working Paper Series, European Central Bank (2002) View citations (39)
    See also Journal Article in Econometric Reviews (2005)

2001

19. Testing and Comparing Value-at-Risk Measures
    CIRANO Working Papers, CIRANO View citations (20)
    See also Journal Article in Journal of Empirical Finance (2001)

2000

20. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
    See also Journal Article in Econometrica (2002)
21. Long Memory and Regime Switching
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (46)
    See also Journal Article in Journal of Econometrics (2001)

1999

22. 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 (4)

1997

23. 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 (11)

Undated

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

Journal Articles

2011

1. Testing for weak identification in possibly nonlinear models
   Journal of Econometrics, 2011, 161, (2), 246-261 View citations (3)
   See also Working Paper (2010)

2010

2. Two-Sample Instrumental Variables Estimators
   The Review of Economics and Statistics, 2010, 92, (3), 557-561 View citations (15)
   See also Working Paper (2005)

2009

3. 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 View citations (2)
   See also Working Paper (2006)

2008

4. Efficient estimation and inference in linear pseudo-panel data models
   Journal of Econometrics, 2008, 142, (1), 449-466
5. Entropy-Based Moment Selection in the Presence of Weak Identification
   Econometric Reviews, 2008, 27, (4-6), 398-427
6. 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 View citations (5)
7. Monitoring and Forecasting Currency Crises
   Journal of Money, Credit and Banking, 2008, 40, (2-3), 523-534 View citations (3)
   See also Working Paper (2005)

2007

8. 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
9. Information in generalized method of moments estimation and entropy-based moment selection
   Journal of Econometrics, 2007, 138, (2), 488-512 View citations (16)

2006

10. A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
    Econometric Theory, 2006, 22, (05), 835-851 View citations (2)
    See also Working Paper (2005)
11. A bootstrap approach to moment selection
    Econometrics Journal, 2006, 9, (1), 48-75 View citations (4)
12. Bootstrapping GMM estimators for time series
    Journal of Econometrics, 2006, 133, (2), 531-555 View citations (19)
    See also Working Paper (2003)
13. On the selection of forecasting models
    Journal of Econometrics, 2006, 130, (2), 273-306 View citations (40)
    See also Working Paper (2003)
14. Testing for the principal’s monopsony power in agency contracts
    Empirical Economics, 2006, 31, (3), 717-734

2005

15. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    Econometric Reviews, 2005, 23, (4), 371-402 View citations (4)
    See also Working Paper (2002)
16. Recursive Predictability Tests for Real-Time Data
    Journal of Business & Economic Statistics, 2005, 23, 336-345 View citations (15)
    See also Working Paper (2003)

2003

17. 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 (3)
18. 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 (7)
19. The large sample behaviour of the generalized method of moments estimator in misspecified models
    Journal of Econometrics, 2003, 114, (2), 361-394 View citations (17)
    See also Working Paper (2005)

2002

20. A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
    Econometric Reviews, 2002, 21, (3), 309-336 View citations (13)
21. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometrica, 2002, 70, (1), 377-391 View citations (48)
    See also Working Paper (2000)
22. Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models
    International Economic Review, 2002, 43, (2), 309-332 View citations (10)
23. Identifying the sign of the slope of a monotonic function via OLS
    Economics Letters, 2002, 75, (3), 419-424 View citations (1)

2001

24. Long memory and regime switching
    Journal of Econometrics, 2001, 105, (1), 131-159 View citations (258)
    See also Working Paper (2000)
25. TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
    Econometric Theory, 2001, 17, (01), 156-187 View citations (15)
26. Testing and comparing Value-at-Risk measures
    Journal of Empirical Finance, 2001, 8, (3), 325-342 View citations (28)
    See also Working Paper (2001)

1999

27. Tests of cointegrating rank with a trend-break
    Journal of Econometrics, 1999, 90, (2), 215-237 View citations (28)

1996

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

1993

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