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Details about Takashi Yamagata

Homepage:https://sites.google.com/york.ac.uk/takashi-yamagata/home
Workplace:Department of Economics and Related Studies, University of York, (more information at EDIRC)
Institute of Social and Economic Research (ISER), Osaka University, (more information at EDIRC)

Access statistics for papers by Takashi Yamagata.

Last updated 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pya208


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Working Papers

2022

  1. Linear Panel Regression Models with Non-Classical Measurement Errors: An Application to Investment Equations
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads

2021

  1. Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
    Bank of Lithuania Working Paper Series, Bank of Lithuania Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2020) Downloads View citations (6)
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2020) Downloads View citations (3)

2020

  1. Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions
    Discussion Papers, Department of Economics, University of York Downloads View citations (4)
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2020) Downloads View citations (4)

    See also Journal Article Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions, Energy Economics, Elsevier (2021) Downloads View citations (29) (2021)
  2. Estimation of Weak Factor Models
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (7)
  3. Global fossil fuel consumption and carbon pricing: Forecasting and counterfactual analysis under alternative GDP scenarios
    RIEEM Discussion Paper Series, Research Institute for Environmental Economics and Management, Waseda University Downloads
  4. IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (5)
  5. IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  6. Inference in Weak Factor Models
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads

2019

  1. A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (3)
  2. Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2019) Downloads View citations (2)

    See also Journal Article Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure, Journal of Econometrics, Elsevier (2021) Downloads View citations (26) (2021)

2017

  1. Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
    Discussion Papers, Department of Economics, University of York Downloads View citations (18)
    Also in CESifo Working Paper Series, CESifo (2017) Downloads View citations (17)

2012

  1. Testing CAPM with a Large Number of Assets
    Discussion Papers, Department of Economics, University of York Downloads View citations (25)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) Downloads View citations (24)
  2. Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (13)

2011

  1. A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models
    Economics Discussion Paper Series, Economics, The University of Manchester Downloads View citations (4)
    See also Journal Article A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models, Journal of Econometrics, Elsevier (2017) Downloads View citations (15) (2017)
  2. A Heteroskedasticity-Robust F-Test Statistic for Individual Effects
    Economics Discussion Paper Series, Economics, The University of Manchester Downloads
    See also Journal Article A Heteroskedasticity-Robust F -Test Statistic for Individual Effects, Econometric Reviews, Taylor & Francis Journals (2014) Downloads (2014)

2010

  1. A robust test for error cross-section correlation in panel models
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
  2. Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
  3. Panels with nonstationary multifactor error structures
    Post-Print, HAL Downloads View citations (15)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) Downloads View citations (48)
    CESifo Working Paper Series, CESifo (2006) Downloads View citations (27)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (29)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (25)

    See also Journal Article Panels with non-stationary multifactor error structures, Journal of Econometrics, Elsevier (2011) Downloads View citations (444) (2011)
  4. Spatial and Temporal Diffusion of House Prices in the UK
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (12)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) Downloads View citations (1)
    Discussion Papers, Department of Economics, University of York Downloads View citations (104)
    CESifo Working Paper Series, CESifo (2010) Downloads View citations (33)

    See also Journal Article The spatial and temporal diffusion of house prices in the UK, Journal of Urban Economics, Elsevier (2011) Downloads View citations (133) (2011)

2008

  1. Firm Level Volatility-Return Analysis using Dynamic Panels
    Discussion Papers, Department of Economics, University of York Downloads
  2. Panel Unit Root Tests in the Presence of a Multifactor Error Structure
    Discussion Papers, Department of Economics, University of York Downloads View citations (4)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) Downloads View citations (797)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (818)
    CESifo Working Paper Series, CESifo (2008) Downloads View citations (3)

    See also Journal Article Panel unit root tests in the presence of a multifactor error structure, Journal of Econometrics, Elsevier (2013) Downloads View citations (124) (2013)

2006

  1. A Bias-Adjusted LM Test of Error Cross Section Independence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (8)
    See also Journal Article A bias-adjusted LM test of error cross-section independence, Econometrics Journal, Royal Economic Society (2008) View citations (402) (2008)
  2. A Spatio-Temporal Model of House Prices in the US
    CESifo Working Paper Series, CESifo Downloads View citations (17)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) Downloads View citations (15)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (38)

    See also Journal Article A spatio-temporal model of house prices in the USA, Journal of Econometrics, Elsevier (2010) Downloads View citations (238) (2010)
  3. Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (5)
    Also in CESifo Working Paper Series, CESifo (2006) Downloads View citations (5)
  4. The Asymptotic Distribution of the F-Test Statistic for Individual Effects
    Economics Discussion Paper Series, Economics, The University of Manchester Downloads View citations (10)
    See also Journal Article The asymptotic distribution of the F-test statistic for individual effects, Econometrics Journal, Royal Economic Society (2006) View citations (10) (2006)

2005

  1. On Testing Sample Selection Bias under the Multicollinearity Problem
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (7)
    See also Journal Article On Testing Sample Selection Bias Under the Multicollinearity Problem, Econometric Reviews, Taylor & Francis Journals (2005) Downloads View citations (7) (2005)
  2. Testing Slope Homogeneity in Large Panels
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (11)
    Also in CESifo Working Paper Series, CESifo (2005) Downloads View citations (18)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (9)

    See also Journal Article Testing slope homogeneity in large panels, Journal of Econometrics, Elsevier (2008) Downloads View citations (969) (2008)

2003

  1. A Nonnormality and Heteroskedasticity Robust Test for Skewness in Regression Models
    Economics Discussion Paper Series, Economics, The University of Manchester Downloads

Journal Articles

2024

  1. Revealing priors from posteriors with an application to inflation forecasting in the UK
    The Econometrics Journal, 2024, 27, (1), 151-170 Downloads

2023

  1. A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
    Journal of Business & Economic Statistics, 2023, 41, (3), 862-875 Downloads

2022

  1. Estimation of Sparsity-Induced Weak Factor Models
    Journal of Business & Economic Statistics, 2022, 41, (1), 213-227 Downloads View citations (4)
  2. Inference in Sparsity-Induced Weak Factor Models
    Journal of Business & Economic Statistics, 2022, 41, (1), 126-139 Downloads

2021

  1. Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions
    Energy Economics, 2021, 97, (C) Downloads View citations (29)
    See also Working Paper Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions, Discussion Papers (2020) Downloads View citations (4) (2020)
  2. Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
    Journal of Econometrics, 2021, 220, (2), 416-446 Downloads View citations (26)
    See also Working Paper Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure, ISER Discussion Paper (2019) Downloads View citations (2) (2019)

2017

  1. A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models
    Journal of Econometrics, 2017, 198, (2), 209-230 Downloads View citations (15)
    See also Working Paper A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models, Economics Discussion Paper Series (2011) Downloads View citations (4) (2011)

2014

  1. A Heteroskedasticity-Robust F -Test Statistic for Individual Effects
    Econometric Reviews, 2014, 33, (5-6), 431-471 Downloads
    See also Working Paper A Heteroskedasticity-Robust F-Test Statistic for Individual Effects, Economics Discussion Paper Series (2011) Downloads (2011)

2013

  1. Panel unit root tests in the presence of a multifactor error structure
    Journal of Econometrics, 2013, 175, (2), 94-115 Downloads View citations (124)
    See also Working Paper Panel Unit Root Tests in the Presence of a Multifactor Error Structure, Discussion Papers (2008) Downloads View citations (4) (2008)

2011

  1. Firm level return–volatility analysis using dynamic panels
    Journal of Empirical Finance, 2011, 18, (5), 847-867 Downloads View citations (12)
  2. Panels with non-stationary multifactor error structures
    Journal of Econometrics, 2011, 160, (2), 326-348 Downloads View citations (444)
    See also Working Paper Panels with nonstationary multifactor error structures, Post-Print (2010) Downloads View citations (15) (2010)
  3. The spatial and temporal diffusion of house prices in the UK
    Journal of Urban Economics, 2011, 69, (1), 2-23 Downloads View citations (133)
    See also Working Paper Spatial and Temporal Diffusion of House Prices in the UK, IZA Discussion Papers (2010) Downloads View citations (12) (2010)

2010

  1. A spatio-temporal model of house prices in the USA
    Journal of Econometrics, 2010, 158, (1), 160-173 Downloads View citations (238)
    See also Working Paper A Spatio-Temporal Model of House Prices in the US, CESifo Working Paper Series (2006) Downloads View citations (17) (2006)

2009

  1. A test of cross section dependence for a linear dynamic panel model with regressors
    Journal of Econometrics, 2009, 148, (2), 149-161 Downloads View citations (130)
  2. Pairwise Tests of Purchasing Power Parity
    Econometric Reviews, 2009, 28, (6), 495-521 Downloads View citations (53)

2008

  1. A bias-adjusted LM test of error cross-section independence
    Econometrics Journal, 2008, 11, (1), 105-127 View citations (402)
    See also Working Paper A Bias-Adjusted LM Test of Error Cross Section Independence, Cambridge Working Papers in Economics (2006) Downloads View citations (8) (2006)
  2. A joint serial correlation test for linear panel data models
    Journal of Econometrics, 2008, 146, (1), 135-145 Downloads View citations (17)
  3. Testing slope homogeneity in large panels
    Journal of Econometrics, 2008, 142, (1), 50-93 Downloads View citations (969)
    See also Working Paper Testing Slope Homogeneity in Large Panels, IEPR Working Papers (2005) View citations (11) (2005)

2006

  1. The asymptotic distribution of the F-test statistic for individual effects
    Econometrics Journal, 2006, 9, (3), 404-422 View citations (10)
    See also Working Paper The Asymptotic Distribution of the F-Test Statistic for Individual Effects, Economics Discussion Paper Series (2006) Downloads View citations (10) (2006)
  2. The small sample performance of the Wald test in the sample selection model under the multicollinearity problem
    Economics Letters, 2006, 93, (1), 75-81 Downloads View citations (2)

2005

  1. On Testing Sample Selection Bias Under the Multicollinearity Problem
    Econometric Reviews, 2005, 24, (4), 467-481 Downloads View citations (7)
    See also Working Paper On Testing Sample Selection Bias under the Multicollinearity Problem, Cambridge Working Papers in Economics (2005) Downloads View citations (7) (2005)
 
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