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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 2020-11-24. Update your information in the RePEc Author Service.

Short-id: pya208


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Working Papers

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
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2020) Downloads
  2. Estimation of Weak Factor Models
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (1)
  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
  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
  6. Inference in Weak Factor Models
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads
  7. Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2020) 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
  2. Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2019) Downloads

2017

  1. Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
    CESifo Working Paper Series, CESifo Downloads View citations (5)
    Also in Discussion Papers, Department of Economics, University of York (2017) Downloads View citations (5)

2012

  1. Testing CAPM with a Large Number of Assets
    Discussion Papers, Department of Economics, University of York Downloads View citations (10)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) Downloads View citations (9)
  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 (9)

2011

  1. A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models
    The School of Economics Discussion Paper Series, Economics, The University of Manchester Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2017)
  2. A Heteroskedasticity-Robust F-Test Statistic for Individual Effects
    The School of Economics Discussion Paper Series, Economics, The University of Manchester Downloads
    See also Journal Article in Econometric Reviews (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 (4)
  3. Panels with nonstationary multifactor error structures
    Post-Print, HAL Downloads View citations (10)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads
    CESifo Working Paper Series, CESifo (2006) Downloads View citations (16)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (18)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (19)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) Downloads View citations (41)

    See also Journal Article in Journal of Econometrics (2011)
  4. Spatial and Temporal Diffusion of House Prices in the UK
    CESifo Working Paper Series, CESifo Downloads View citations (27)
    Also in Discussion Papers, Department of Economics, University of York Downloads View citations (1)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) Downloads
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2010) Downloads View citations (7)

    See also Journal Article in Journal of Urban Economics (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 (2)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) Downloads View citations (318)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (331)
    CESifo Working Paper Series, CESifo (2008) Downloads

    See also Journal Article in Journal of Econometrics (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 (9)
    See also Journal Article in Econometrics Journal (2008)
  2. A Spatio-Temporal Model of House Prices in the US
    CESifo Working Paper Series, CESifo Downloads View citations (11)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (35)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) Downloads View citations (9)

    See also Journal Article in Journal of Econometrics (2010)
  3. Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures
    CESifo Working Paper Series, CESifo Downloads View citations (3)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (2)
  4. The Asymptotic Distribution of the F-Test Statistic for Individual Effects
    The School of Economics Discussion Paper Series, Economics, The University of Manchester Downloads View citations (8)
    See also Journal Article in Econometrics Journal (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 (6)
    See also Journal Article in Econometric Reviews (2005)
  2. Testing Slope Homogeneity in Large Panels
    CESifo Working Paper Series, CESifo Downloads View citations (15)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (8)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (7)

    See also Journal Article in Journal of Econometrics (2008)

2003

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

Journal Articles

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 (1)
    See also Working Paper (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 (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 (81)
    See also Working Paper (2008)

2011

  1. Firm level return–volatility analysis using dynamic panels
    Journal of Empirical Finance, 2011, 18, (5), 847-867 Downloads View citations (8)
  2. Panels with non-stationary multifactor error structures
    Journal of Econometrics, 2011, 160, (2), 326-348 Downloads View citations (290)
    See also Working Paper (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 (80)
    See also Working Paper (2010)

2010

  1. A spatio-temporal model of house prices in the USA
    Journal of Econometrics, 2010, 158, (1), 160-173 Downloads View citations (164)
    See also Working Paper (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 (96)
  2. Pairwise Tests of Purchasing Power Parity
    Econometric Reviews, 2009, 28, (6), 495-521 Downloads View citations (48)

2008

  1. A bias-adjusted LM test of error cross-section independence
    Econometrics Journal, 2008, 11, (1), 105-127 Downloads View citations (199)
    See also Working Paper (2006)
  2. A joint serial correlation test for linear panel data models
    Journal of Econometrics, 2008, 146, (1), 135-145 Downloads View citations (14)
  3. Testing slope homogeneity in large panels
    Journal of Econometrics, 2008, 142, (1), 50-93 Downloads View citations (240)
    See also Working Paper (2005)

2006

  1. The asymptotic distribution of the F-test statistic for individual effects
    Econometrics Journal, 2006, 9, (3), 404-422 Downloads View citations (9)
    See also Working Paper (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

2005

  1. On Testing Sample Selection Bias Under the Multicollinearity Problem
    Econometric Reviews, 2005, 24, (4), 467-481 Downloads View citations (3)
    See also Working Paper (2005)
 
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