Details about 黒住英司 (Eiji Kurozumi)

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

Working Papers

2015

1. Confidence Sets for the Break Date Based on Optimal Tests
   Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (9)

2014

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

2012

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

2011

6. Estimation and Inference in Predictive Regressions
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
   See also Journal Article ESTIMATION AND INFERENCE IN PREDICTIVE REGRESSIONS, Hitotsubashi Journal of Economics, Hitotsubashi University (2013) (2013)
7. 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

2010

8. 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
   See also Journal Article Investigating finite sample properties of estimators for approximate factor models when N is small, Economics Letters, Elsevier (2012) View citations (1) (2012)
9. Model Selection Criteria in Multivariate Models with Multiple Structural Changes
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
   See also Journal Article Model selection criteria in multivariate models with multiple structural changes, Journal of Econometrics, Elsevier (2011) View citations (25) (2011)

2009

10. Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
    Also in CCES Discussion Paper Series, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University (2008) View citations (2)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2008) View citations (2)
    See also Journal Article Model selection criteria for the leads-and-lags cointegrating regression, Journal of Econometrics, Elsevier (2012) View citations (13) (2012)
11. Reducing the Size Distortion of the KPSS Test
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
    See also Journal Article Reducing the size distortion of the KPSS test, Journal of Time Series Analysis, Wiley Blackwell (2010) View citations (13) (2010)

2008

12. 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 View citations (11)
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2008) View citations (8)

2007

13. 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

2006

14. 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
    See also Journal Article Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors, Journal of Econometrics, Elsevier (2009) View citations (20) (2009)
15. Test for the null hypothesis of cointegration with reduced size distortion
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
    See also Journal Article Test for the null hypothesis of cointegration with reduced size distortion, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (3) (2008)
16. The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (5)
    See also Journal Article The role of “leads” in the dynamic OLS estimation of cointegrating regression models, Mathematics and Computers in Simulation (MATCOM), Elsevier (2008) View citations (18) (2008)

2005

17. Construction of Stationarity Tests with Less Size Distortions
    Discussion Papers, Graduate School of Economics, Hitotsubashi University
    See also Journal Article Construction of Stationarity Tests with Less Size Distortions, Hitotsubashi Journal of Economics, Hitotsubashi University (2009) View citations (1) (2009)
18. Efficient Estimation and Inference in Cointegrating Regressions with Structural Change
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (3)
    See also Journal Article Efficient estimation and inference in cointegrating regressions with structural change, Journal of Time Series Analysis, Wiley Blackwell (2007) View citations (2) (2007)
19. Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (1)
20. Testing for the Null Hypothesis of Cointegration with Structural Breaks
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (7)
    See also Journal Article Testing for the Null Hypothesis of Cointegration with a Structural Break, Econometric Reviews, Taylor & Francis Journals (2007) View citations (63) (2007)
21. 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

2003

22. Testing the Rank of a Sub-Matrix of Cointegration with a Deterministic Trend
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (1)
23. Tests for Long-Run Granger Non-Causality in Cointegrated Systems
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (1)
    Also in Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2003) View citations (1)
    See also Journal Article Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (19) (2006)
24. The Rank of a Sub-Matrix of Cointegration
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (1)
    See also Journal Article THE RANK OF A SUBMATRIX OF COINTEGRATION, Econometric Theory, Cambridge University Press (2005) View citations (6) (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 View citations (1)
2. Testing for Multiple Structural Changes with Non-Homogeneous Regressors
   Journal of Time Series Econometrics, 2015, 7, (1), 1-35 View citations (1)
   See also Working Paper Testing for Multiple Structural Changes with Non-Homogeneous Regressors, Global COE Hi-Stat Discussion Paper Series (2012) (2012)

2014

3. THE ET INTERVIEW: PROFESSOR KATSUTO TANAKA
   Econometric Theory, 2014, 30, (2), 474-490

2013

4. ESTIMATION AND INFERENCE IN PREDICTIVE REGRESSIONS
   Hitotsubashi Journal of Economics, 2013, 54, (2), 231-250
   See also Working Paper Estimation and Inference in Predictive Regressions, Global COE Hi-Stat Discussion Paper Series (2011) (2011)

2012

5. A simple panel stationarity test in the presence of serial correlation and a common factor
   Economics Letters, 2012, 115, (1), 31-34 View citations (54)
6. Investigating finite sample properties of estimators for approximate factor models when N is small
   Economics Letters, 2012, 116, (3), 465-468 View citations (1)
   See also Working Paper Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small, Global COE Hi-Stat Discussion Paper Series (2010) (2010)
7. Model selection criteria for the leads-and-lags cointegrating regression
   Journal of Econometrics, 2012, 169, (2), 224-238 View citations (13)
   See also Working Paper Model Selection Criteria for the Leads-and-Lags Cointegrating Regression, Working Papers (2009) (2009)
8. Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break
   Economics Letters, 2012, 117, (3), 814-816 View citations (11)

2011

9. A Locally Optimal Test for No Unit Root in Cross-sectionally Dependent Panel Data
   Hitotsubashi Journal of Economics, 2011, 52, (2), 165-184 View citations (10)
10. Model selection criteria in multivariate models with multiple structural changes
    Journal of Econometrics, 2011, 164, (2), 218-238 View citations (25)
    See also Working Paper Model Selection Criteria in Multivariate Models with Multiple Structural Changes, Global COE Hi-Stat Discussion Paper Series (2010) View citations (1) (2010)

2010

11. Reducing the size distortion of the KPSS test
    Journal of Time Series Analysis, 2010, 31, (6), 415-426 View citations (13)
    See also Working Paper Reducing the Size Distortion of the KPSS Test, Global COE Hi-Stat Discussion Paper Series (2009) (2009)

2009

12. Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
    Journal of Econometrics, 2009, 149, (2), 118-135 View citations (20)
    See also Working Paper Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors, Hi-Stat Discussion Paper Series (2006) (2006)
13. Construction of Stationarity Tests with Less Size Distortions
    Hitotsubashi Journal of Economics, 2009, 50, (1), 87-105 View citations (1)
    See also Working Paper Construction of Stationarity Tests with Less Size Distortions, Discussion Papers (2005) (2005)

2008

14. Test for the null hypothesis of cointegration with reduced size distortion
    Journal of Time Series Analysis, 2008, 29, (3), 476-500 View citations (3)
    See also Working Paper Test for the null hypothesis of cointegration with reduced size distortion, Hi-Stat Discussion Paper Series (2006) (2006)
15. The role of “leads” in the dynamic OLS estimation of cointegrating regression models
    Mathematics and Computers in Simulation (MATCOM), 2008, 79, (3), 555-560 View citations (18)
    See also Working Paper The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models, Hi-Stat Discussion Paper Series (2006) View citations (5) (2006)

2007

16. Efficient estimation and inference in cointegrating regressions with structural change
    Journal of Time Series Analysis, 2007, 28, (4), 545-575 View citations (2)
    See also Working Paper Efficient Estimation and Inference in Cointegrating Regressions with Structural Change, Discussion Papers (2005) View citations (3) (2005)
17. Testing for the Null Hypothesis of Cointegration with a Structural Break
    Econometric Reviews, 2007, 26, (6), 705-739 View citations (63)
    See also Working Paper Testing for the Null Hypothesis of Cointegration with Structural Breaks, CIRJE F-Series (2005) View citations (7) (2005)

2006

18. Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems
    Journal of Time Series Analysis, 2006, 27, (5), 703-723 View citations (19)
    See also Working Paper Tests for Long-Run Granger Non-Causality in Cointegrated Systems, Discussion Papers (2003) View citations (1) (2003)

2005

19. 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 View citations (12)
20. EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
    Econometric Theory, 2005, 21, (4), 870-875
21. Lag augmentation in regression models with possibly integrated regressors
    Hitotsubashi Journal of Economics, 2005, 46, (2), 159-175 View citations (1)
22. THE RANK OF A SUBMATRIX OF COINTEGRATION
    Econometric Theory, 2005, 21, (2), 299-325 View citations (6)
    See also Working Paper The Rank of a Sub-Matrix of Cointegration, Discussion Papers (2003) View citations (1) (2003)

2002

23. TESTING FOR PERIODIC STATIONARITY
    Econometric Reviews, 2002, 21, (2), 243-270 View citations (2)
24. THE LIMITING PROPERTIES OF THE CANOVA AND HANSEN TEST UNDER LOCAL ALTERNATIVES
    Econometric Theory, 2002, 18, (5), 1197-1220 View citations (2)
25. Testing for stationarity with a break
    Journal of Econometrics, 2002, 108, (1), 63-99 View citations (102)

2000

26. Modified lag augmented vector autoregressions
    Econometric Reviews, 2000, 19, (2), 207-231 View citations (23)