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Details about Katsumi Shimotsu

Homepage:http://shimotsu.web.fc2.com
Workplace:Faculty of Economics, University of Tokyo, (more information at EDIRC)
Economics Department, Queen's University, (more information at EDIRC)

Access statistics for papers by Katsumi Shimotsu.

Last updated 2015-02-04. Update your information in the RePEc Author Service.

Short-id: psh189


Jump to Journal Articles

Working Papers

2014

  1. The Effect of Large-Scale Retailers on Price Level: Evidence from Japanese data for 1977-1992
    Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) Downloads

2013

  1. Does an R&D Tax Credit Affect R&D Expenditure? The Japanese R&D Tax Credit Reform in 2003
    CESifo Working Paper Series, CESifo Group Munich Downloads
    See also Journal Article in Journal of the Japanese and International Economies (2014)
  2. Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2012) Downloads View citations (1)

2012

  1. Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2012) Downloads

    See also Journal Article in Journal of the Royal Statistical Society Series B (2014)
  2. Testing the Number of Components in Finite Mixture Models
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2012) Downloads

2011

  1. How Much Do R&D Tax Credits Affect R&D Expenditures? Japanese tax credit reform in 2003
    Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) Downloads
  2. Sequential Estimation of Dynamic Programming Models with Unobserved Heterogeneity
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads

2010

  1. Decline in the Persistence of Real Exchange Rates: But Not Sufficient for Purchasing Power Parity
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads View citations (2)
    See also Journal Article in Journal of the Japanese and International Economies (2010)
  2. Empirical Likelihood Block Bootstrapping
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads
    Also in Staff Working Papers, Bank of Canada (2008) Downloads View citations (1)
    Working Papers, Queen's University, Department of Economics (2008) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2011)
  3. Exact Local Whittle Estimation of Fractionally Cointegrated Systems
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2012)
  4. Nonparametric Identification of Multivariate Mixtures
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads

2009

  1. Sequential Estimation of Structural Models with a Fixed Point Constraint
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads
    Working Papers, Queen's University, Department of Economics (2008) Downloads View citations (1)

    See also Journal Article in Econometrica (2012)

2007

  1. Covariance-based orthogonality tests for regressors with unknown persistence
    Working Papers, Queen's University, Department of Economics Downloads View citations (1)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (2)
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) Downloads View citations (2)

    See also Journal Article in Econometric Theory (2009)
  2. Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity
    Working Papers, Queen's University, Department of Economics Downloads View citations (1)
  3. Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test
    Working Papers, Queen's University, Department of Economics Downloads
    See also Journal Article in Journal of Empirical Finance (2009)
  4. Nonparametric Identification and Estimation of Multivariate Mixtures
    Working Papers, Queen's University, Department of Economics Downloads View citations (2)

2006

  1. Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach
    Working Papers, Queen's University, Department of Economics Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2007)
  2. Enrollment Responses to Labour Market Conditions: A Study of the Canadian Market for Scientists and Engineers
    Working Papers, Queen's University, Department of Economics Downloads
  3. Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend
    Working Papers, Queen's University, Department of Economics Downloads View citations (24)
    See also Journal Article in Econometric Theory (2010)
  4. Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes
    Working Papers, Queen's University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2007)
  5. Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
    UWO Department of Economics Working Papers, University of Western Ontario, Department of Economics Downloads View citations (5)
    Also in Working Papers, Queen's University, Department of Economics (2006) Downloads
  6. Nonparametric Identification and Estimation of Finite Mixture Models of Dynamic Discrete Choices
    Working Papers, Queen's University, Department of Economics Downloads View citations (5)
    Also in UWO Department of Economics Working Papers, University of Western Ontario, Department of Economics (2006) Downloads View citations (5)
  7. Simple (but effective) tests of long memory versus structural breaks
    Working Papers, Queen's University, Department of Economics Downloads View citations (27)

2004

  1. Exact Local Whittle Estimation of Fractional Integration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (16)

2003

  1. Local Whittle Estimation in Nonstationary and Unit Root Cases
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (36)

2000

  1. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  2. Pooled Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)

Journal Articles

2014

  1. Does an R&D tax credit affect R&D expenditure? The Japanese R&D tax credit reform in 2003
    Journal of the Japanese and International Economies, 2014, 31, (C), 72-97 Downloads
    See also Working Paper (2013)
  2. Modified Quasi-Likelihood Ratio Test for Regime Switching
    The Japanese Economic Review, 2014, 65, (1), 25-41 Downloads View citations (3)
  3. Non-parametric identification and estimation of the number of components in multivariate mixtures
    Journal of the Royal Statistical Society Series B, 2014, 76, (1), 97-111 Downloads View citations (2)
    See also Working Paper (2012)

2012

  1. Exact local Whittle estimation of fractionally cointegrated systems
    Journal of Econometrics, 2012, 169, (2), 266-278 Downloads View citations (11)
    See also Working Paper (2010)
  2. Sequential Estimation of Structural Models With a Fixed Point Constraint
    Econometrica, 2012, 80, (5), 2303-2319 Downloads View citations (4)
    See also Working Paper (2009)

2011

  1. Empirical likelihood block bootstrapping
    Journal of Econometrics, 2011, 161, (2), 110-121 Downloads View citations (7)
    See also Working Paper (2010)

2010

  1. Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity
    Journal of the Japanese and International Economies, 2010, 24, (3), 395-411 Downloads View citations (4)
    See also Working Paper (2010)
  2. EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
    Econometric Theory, 2010, 26, (02), 501-540 Downloads View citations (42)
    See also Working Paper (2006)

2009

  1. COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE
    Econometric Theory, 2009, 25, (01), 63-116 Downloads View citations (4)
    See also Working Paper (2007)
  2. Improvement in finite sample properties of the Hansen-Jagannathan distance test
    Journal of Empirical Finance, 2009, 16, (3), 483-506 Downloads View citations (5)
    See also Working Paper (2007)
  3. Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices
    Econometrica, 2009, 77, (1), 135-175 Downloads View citations (45)

2008

  1. Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
    Journal of Econometrics, 2008, 146, (1), 92-106 Downloads View citations (12)

2007

  1. Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
    Journal of Econometrics, 2007, 141, (2), 574-596 Downloads View citations (25)
    See also Working Paper (2006)
  2. Gaussian semiparametric estimation of multivariate fractionally integrated processes
    Journal of Econometrics, 2007, 137, (2), 277-310 Downloads View citations (26)
    See also Working Paper (2006)

2006

  1. Local Whittle estimation of fractional integration and some of its variants
    Journal of Econometrics, 2006, 130, (2), 209-233 Downloads View citations (54)
 
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