Details about Takashi Yamagata

Access statistics for papers by Takashi Yamagata.

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

Short-id: pya208

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

2021

2. Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
   Bank of Lithuania Working Paper Series, Bank of Lithuania View citations (9)
   Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2020) View citations (3)
   MPRA Paper, University Library of Munich, Germany (2020) View citations (6)
   See also Journal Article Two-stage instrumental variable estimation of linear panel data models with interactive effects, The Econometrics Journal, Royal Economic Society (2022) View citations (9) (2022)

2020

3. Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions
   ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (4)
   Also in Discussion Papers, Department of Economics, University of York (2020) 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) View citations (33) (2021)
4. Estimation of Weak Factor Models
   ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (7)
5. 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
6. 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 View citations (5)
7. 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 View citations (5)
   See also Journal Article IV estimation of spatial dynamic panels with interactive effects: large sample theory and an application on bank attitude towards risk, The Econometrics Journal, Royal Economic Society (2023) View citations (1) (2023)
8. Inference in Weak Factor Models
   ISER Discussion Paper, Institute of Social and Economic Research, Osaka University

2019

9. 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 View citations (3)
10. 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 View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2019) 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) View citations (31) (2021)

2017

11. Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
    Discussion Papers, Department of Economics, University of York View citations (18)
    Also in CESifo Working Paper Series, CESifo (2017) View citations (17)
    See also Journal Article Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities*, Journal of Financial Econometrics, Oxford University Press (2024) View citations (1) (2024)

2012

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

2011

14. A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models
    Economics Discussion Paper Series, Economics, The University of Manchester 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) View citations (17) (2017)
15. A Heteroskedasticity-Robust F-Test Statistic for Individual Effects
    Economics Discussion Paper Series, Economics, The University of Manchester
    See also Journal Article A Heteroskedasticity-Robust F -Test Statistic for Individual Effects, Econometric Reviews, Taylor & Francis Journals (2014) (2014)

2010

16. A robust test for error cross-section correlation in panel models
    Discussion Papers, Department of Economics, University of York View citations (1)
17. Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence
    MPRA Paper, University Library of Munich, Germany View citations (6)
18. Panels with nonstationary multifactor error structures
    Post-Print, HAL View citations (15)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (25)
    CESifo Working Paper Series, CESifo (2006) View citations (27)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (48)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (29)
    See also Journal Article Panels with non-stationary multifactor error structures, Journal of Econometrics, Elsevier (2011) View citations (458) (2011)
19. Spatial and Temporal Diffusion of House Prices in the UK
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (12)
    Also in CESifo Working Paper Series, CESifo (2010) View citations (33)
    Discussion Papers, Department of Economics, University of York View citations (104)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (1)
    See also Journal Article The spatial and temporal diffusion of house prices in the UK, Journal of Urban Economics, Elsevier (2011) View citations (135) (2011)

2008

20. Firm Level Volatility-Return Analysis using Dynamic Panels
    Discussion Papers, Department of Economics, University of York
21. Panel Unit Root Tests in the Presence of a Multifactor Error Structure
    CESifo Working Paper Series, CESifo View citations (3)
    Also in Discussion Papers, Department of Economics, University of York (2008) View citations (4)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (898)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (877)
    See also Journal Article Panel unit root tests in the presence of a multifactor error structure, Journal of Econometrics, Elsevier (2013) View citations (128) (2013)

2006

22. A Bias-Adjusted LM Test of Error Cross Section Independence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 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 (429) (2008)
23. A Spatio-Temporal Model of House Prices in the US
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (38)
    Also in CESifo Working Paper Series, CESifo (2006) View citations (17)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (15)
    See also Journal Article A spatio-temporal model of house prices in the USA, Journal of Econometrics, Elsevier (2010) View citations (244) (2010)
24. Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
    Also in CESifo Working Paper Series, CESifo (2006) View citations (5)
25. The Asymptotic Distribution of the F-Test Statistic for Individual Effects
    Economics Discussion Paper Series, Economics, The University of Manchester 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

26. On Testing Sample Selection Bias under the Multicollinearity Problem
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
    See also Journal Article On Testing Sample Selection Bias Under the Multicollinearity Problem, Econometric Reviews, Taylor & Francis Journals (2005) View citations (7) (2005)
27. Testing Slope Homogeneity in Large Panels
    CESifo Working Paper Series, CESifo View citations (18)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (11)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (9)
    See also Journal Article Testing slope homogeneity in large panels, Journal of Econometrics, Elsevier (2008) View citations (1147) (2008)

2003

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

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
2. Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities*
   Journal of Financial Econometrics, 2024, 22, (2), 407-460 View citations (1)
   See also Working Paper Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities, Discussion Papers (2017) View citations (18) (2017)

2023

3. 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
4. IV estimation of spatial dynamic panels with interactive effects: large sample theory and an application on bank attitude towards risk
   The Econometrics Journal, 2023, 26, (2), 124-146 View citations (1)
   See also Working Paper IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk, MPRA Paper (2020) View citations (5) (2020)

2022

5. Estimation of Sparsity-Induced Weak Factor Models
   Journal of Business & Economic Statistics, 2022, 41, (1), 213-227 View citations (8)
6. Inference in Sparsity-Induced Weak Factor Models
   Journal of Business & Economic Statistics, 2022, 41, (1), 126-139 View citations (1)
7. Two-stage instrumental variable estimation of linear panel data models with interactive effects
   (Eigenvalue ratio test for the number of factors)
   The Econometrics Journal, 2022, 25, (2), 340-361 View citations (9)
   See also Working Paper Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects, Bank of Lithuania Working Paper Series (2021) View citations (9) (2021)

2021

8. Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions
   Energy Economics, 2021, 97, (C) View citations (33)
   See also Working Paper Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions, ISER Discussion Paper (2020) View citations (4) (2020)
9. 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 View citations (31)
   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) View citations (2) (2019)

2017

10. A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models
    Journal of Econometrics, 2017, 198, (2), 209-230 View citations (17)
    See also Working Paper A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models, Economics Discussion Paper Series (2011) View citations (4) (2011)

2014

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

2013

12. Panel unit root tests in the presence of a multifactor error structure
    Journal of Econometrics, 2013, 175, (2), 94-115 View citations (128)
    See also Working Paper Panel Unit Root Tests in the Presence of a Multifactor Error Structure, CESifo Working Paper Series (2008) View citations (3) (2008)

2011

13. Firm level return–volatility analysis using dynamic panels
    Journal of Empirical Finance, 2011, 18, (5), 847-867 View citations (13)
14. Panels with non-stationary multifactor error structures
    Journal of Econometrics, 2011, 160, (2), 326-348 View citations (458)
    See also Working Paper Panels with nonstationary multifactor error structures, Post-Print (2010) View citations (15) (2010)
15. The spatial and temporal diffusion of house prices in the UK
    Journal of Urban Economics, 2011, 69, (1), 2-23 View citations (135)
    See also Working Paper Spatial and Temporal Diffusion of House Prices in the UK, IZA Discussion Papers (2010) View citations (12) (2010)

2010

16. A spatio-temporal model of house prices in the USA
    Journal of Econometrics, 2010, 158, (1), 160-173 View citations (244)
    See also Working Paper A Spatio-Temporal Model of House Prices in the US, Cambridge Working Papers in Economics (2006) View citations (38) (2006)

2009

17. A test of cross section dependence for a linear dynamic panel model with regressors
    Journal of Econometrics, 2009, 148, (2), 149-161 View citations (131)
18. Pairwise Tests of Purchasing Power Parity
    Econometric Reviews, 2009, 28, (6), 495-521 View citations (53)

2008

19. A bias-adjusted LM test of error cross-section independence
    Econometrics Journal, 2008, 11, (1), 105-127 View citations (429)
    See also Working Paper A Bias-Adjusted LM Test of Error Cross Section Independence, Cambridge Working Papers in Economics (2006) View citations (8) (2006)
20. A joint serial correlation test for linear panel data models
    Journal of Econometrics, 2008, 146, (1), 135-145 View citations (17)
21. Testing slope homogeneity in large panels
    Journal of Econometrics, 2008, 142, (1), 50-93 View citations (1147)
    See also Working Paper Testing Slope Homogeneity in Large Panels, CESifo Working Paper Series (2005) View citations (18) (2005)

2006

22. 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) View citations (10) (2006)
23. The small sample performance of the Wald test in the sample selection model under the multicollinearity problem
    Economics Letters, 2006, 93, (1), 75-81 View citations (2)

2005

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