Details about Katsumi Shimotsu

Access statistics for papers by Katsumi Shimotsu.

Last updated 2009-11-03. Update your information in the RePEc Author Service.

Short-id: psh189

Working Papers

2008

1. Empirical Likelihood Block Bootstrapping
   Working Papers, Queen's University, Department of Economics
   Also in Working Papers, Bank of Canada (2008)
2. Sequential Estimation of Structural Models with a Fixed Point Constraint
   Working Papers, Queen's University, Department of Economics
   Also in CESifo Working Paper Series, CESifo Group Munich (2008)

2007

3. Covariance-based orthogonality tests for regressors with unknown persistence
   Working Papers, Queen's University, Department of Economics
   Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations
   Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations
   See also Journal Article in Econometric Theory (2009)
4. Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity
   Working Papers, Queen's University, Department of Economics
5. Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test
   Working Papers, Queen's University, Department of Economics
   See also Journal Article in Journal of Empirical Finance (2009)
6. Nonparametric Identification and Estimation of Multivariate Mixtures
   Working Papers, Queen's University, Department of Economics View citations

2006

7. Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach
   Working Papers, Queen's University, Department of Economics
   See also Journal Article in Journal of Econometrics (2007)
8. Enrollment Responses to Labour Market Conditions: A Study of the Canadian Market for Scientists and Engineers
   Working Papers, Queen's University, Department of Economics
9. Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend
   Working Papers, Queen's University, Department of Economics View citations
   Also in Economics Discussion Papers, University of Essex, Department of Economics (2002) View citations
10. Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes
    Working Papers, Queen's University, Department of Economics
    Also in Economics Discussion Papers, University of Essex, Department of Economics (2003)
    See also Journal Article in Journal of Econometrics (2007)
11. 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 View citations
    Also in Working Papers, Queen's University, Department of Economics (2006)
12. Nonparametric Identification and Estimation of Finite Mixture Models of Dynamic Discrete Choices
    UWO Department of Economics Working Papers, University of Western Ontario, Department of Economics View citations
    Also in Working Papers, Queen's University, Department of Economics (2006) View citations
13. Simple (but effective) tests of long memory versus structural breaks
    Working Papers, Queen's University, Department of Economics View citations

2004

14. Exact Local Whittle Estimation of Fractional Integration
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in Economics Discussion Papers, University of Essex, Department of Economics (2002) View citations

2003

15. Exact Local Whittle Estimation of Fractionally Cointegrated Systems
    Economics Discussion Papers, University of Essex, Department of Economics
16. Local Whittle Estimation in Nonstationary and Unit Root Cases
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

2000

17. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
18. Pooled Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

Journal Articles

2009

1. COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE
   Econometric Theory, 2009, 25, (01), 63-116
   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
   See also Working Paper (2007)
3. Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices
   Econometrica, 2009, 77, (1), 135-175 View citations

2008

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

2007

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

2006

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