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Details about 黒住英司 (Eiji Kurozumi)

E-mail:
Homepage:http://www.econ.hit-u.ac.jp/~kurozumi/
Workplace:Graduate School of Economics, Hitotsubashi University, (more information at EDIRC)
Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University, (more information at EDIRC)

Access statistics for papers by 黒住英司.

Last updated 2015-12-13. Update your information in the RePEc Author Service.

Short-id: pku189


Jump to Journal Articles

Working Papers

2015

  1. Confidence Sets for the Break Date Based on Optimal Tests
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads View citations (4)

2014

  1. Improving the Finite Sample Performance of Tests for a Shift in Mean
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads
  2. Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed
    Economics Working Papers, Queen's Management School, Queen's University Belfast Downloads
    Also in Discussion Papers, Graduate School of Economics, Hitotsubashi University (2013) Downloads

2012

  1. Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
  2. Testing for Multiple Structural Changes with Non-Homogeneous Regressors
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    See also Journal Article in Journal of Time Series Econometrics (2015)

2011

  1. Estimation and Inference in Predictive Regressions
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    See also Journal Article in Hitotsubashi Journal of Economics (2013)
  2. Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads

2010

  1. Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    See also Journal Article in Economics Letters (2012)
  2. Model Selection Criteria in Multivariate Models with Multiple Structural Changes
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    See also Journal Article in Journal of Econometrics (2011)

2009

  1. Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
    Working Papers, Research Institute for Market Economy, Sogang University Downloads
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2008) Downloads View citations (1)
    CCES Discussion Paper Series, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University (2008) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2012)
  2. Reducing the Size Distortion of the KPSS Test
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    See also Journal Article in Journal of Time Series Analysis (2010)

2008

  1. A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
    CCES Discussion Paper Series, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University Downloads View citations (6)
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2008) Downloads View citations (2)

2007

  1. Keizai jikeiretsu bunseki to tanikon kentei: koremade no hatten to kongo no tenbo [in Japanese]
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads

2006

  1. Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    See also Journal Article in Journal of Econometrics (2009)
  2. Test for the null hypothesis of cointegration with reduced size distortion
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    See also Journal Article in Journal of Time Series Analysis (2008)
  3. The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (5)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2008)

2005

  1. Construction of Stationarity Tests with Less Size Distortions
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads
    See also Journal Article in Hitotsubashi Journal of Economics (2009)
  2. Efficient Estimation and Inference in Cointegrating Regressions with Structural Change
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads View citations (3)
    See also Journal Article in Journal of Time Series Analysis (2007)
  3. Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads
  4. Testing for the Null Hypothesis of Cointegration with Structural Breaks
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (4)
  5. Testing for the Null Hypothesis of Cointegration with Structural Breaks (Subsequently published in "Econometric Reviews", Volume 26, Issue 6 November 2007, pages 705 - 739. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads

2003

  1. Testing the Rank of a Sub-Matrix of Cointegration with a Deterministic Trend
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads
  2. Tests for Long-Run Granger Non-Causality in Cointegrated Systems
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads View citations (1)
    Also in Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2003) Downloads View citations (1)

    See also Journal Article in Journal of Time Series Analysis (2006)
  3. The Rank of a Sub-Matrix of Cointegration
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads
    See also Journal Article in Econometric Theory (2005)

Journal Articles

2015

  1. Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests
    Manchester School, 2015, 83, (6), 676-700 Downloads
  2. Testing for Multiple Structural Changes with Non-Homogeneous Regressors
    Journal of Time Series Econometrics, 2015, 7, (1), 35 Downloads View citations (1)
    See also Working Paper (2012)

2014

  1. THE ET INTERVIEW: PROFESSOR KATSUTO TANAKA
    Econometric Theory, 2014, 30, (02), 474-490 Downloads

2013

  1. ESTIMATION AND INFERENCE IN PREDICTIVE REGRESSIONS
    Hitotsubashi Journal of Economics, 2013, 54, (2), 231-250 Downloads
    See also Working Paper (2011)

2012

  1. A simple panel stationarity test in the presence of serial correlation and a common factor
    Economics Letters, 2012, 115, (1), 31-34 Downloads View citations (11)
  2. Investigating finite sample properties of estimators for approximate factor models when N is small
    Economics Letters, 2012, 116, (3), 465-468 Downloads View citations (1)
    See also Working Paper (2010)
  3. Model selection criteria for the leads-and-lags cointegrating regression
    Journal of Econometrics, 2012, 169, (2), 224-238 Downloads View citations (5)
    See also Working Paper (2009)
  4. Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break
    Economics Letters, 2012, 117, (3), 814-816 Downloads View citations (3)

2011

  1. A Locally Optimal Test for No Unit Root in Cross-sectionally Dependent Panel Data
    Hitotsubashi Journal of Economics, 2011, 52, (2), 165-184 Downloads View citations (3)
  2. Model selection criteria in multivariate models with multiple structural changes
    Journal of Econometrics, 2011, 164, (2), 218-238 Downloads View citations (10)
    See also Working Paper (2010)

2010

  1. Reducing the size distortion of the KPSS test
    Journal of Time Series Analysis, 2010, 31, (6), 415-426 Downloads View citations (9)
    See also Working Paper (2009)

2009

  1. Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
    Journal of Econometrics, 2009, 149, (2), 118-135 Downloads View citations (10)
    See also Working Paper (2006)
  2. Construction of Stationarity Tests with Less Size Distortions
    Hitotsubashi Journal of Economics, 2009, 50, (1), 87-105 Downloads
    See also Working Paper (2005)

2008

  1. Test for the null hypothesis of cointegration with reduced size distortion
    Journal of Time Series Analysis, 2008, 29, (3), 476-500 Downloads View citations (2)
    See also Working Paper (2006)
  2. The role of “leads” in the dynamic OLS estimation of cointegrating regression models
    Mathematics and Computers in Simulation (MATCOM), 2008, 79, (3), 555-560 Downloads View citations (7)
    See also Working Paper (2006)

2007

  1. Efficient estimation and inference in cointegrating regressions with structural change
    Journal of Time Series Analysis, 2007, 28, (4), 545-575 Downloads
    See also Working Paper (2005)
  2. Testing for the Null Hypothesis of Cointegration with a Structural Break
    Econometric Reviews, 2007, 26, (6), 705-739 Downloads View citations (28)

2006

  1. Tests for Long-Run Granger Non-Causality in Cointegrated Systems
    Journal of Time Series Analysis, 2006, 27, (5), 703-723 Downloads View citations (14)
    See also Working Paper (2003)

2005

  1. Detection of Structural Change in the Long-run Persistence in a Univariate Time Series
    Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 181-206 Downloads View citations (7)
  2. EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
    Econometric Theory, 2005, 21, (04), 870-875 Downloads
  3. Lag augmentation in regression models with possibly integrated regressors
    Hitotsubashi Journal of Economics, 2005, 46, (2), 159-175 Downloads View citations (1)
  4. THE RANK OF A SUBMATRIX OF COINTEGRATION
    Econometric Theory, 2005, 21, (02), 299-325 Downloads View citations (5)
    See also Working Paper (2003)

2002

  1. TESTING FOR PERIODIC STATIONARITY
    Econometric Reviews, 2002, 21, (2), 243-270 Downloads View citations (1)
  2. THE LIMITING PROPERTIES OF THE CANOVA AND HANSEN TEST UNDER LOCAL ALTERNATIVES
    Econometric Theory, 2002, 18, (05), 1197-1220 Downloads View citations (1)
  3. Testing for stationarity with a break
    Journal of Econometrics, 2002, 108, (1), 63-99 Downloads View citations (67)

2000

  1. Modified lag augmented vector autoregressions
    Econometric Reviews, 2000, 19, (2), 207-231 Downloads View citations (18)
 
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