Kyushu University Academic Staff Educational and Research Activities Database
List of Papers
Taro Takimoto Last modified date:2019.07.29

Professor / Fields in Economic Systems / Department of Economic Engineering / Faculty of Economics


Papers
1. Pyemo Afego, Taro Takimoto, Information asymmetry, non-scheduled announcements and the persistence of price pressure effects around Nikkei 225 index revisions, Faculty of Economics Kyushu University Discussion Paper No.2019-4, 1-63, 2019.07, [URL].
2. Taro Takimoto Yuzo Hosoya, Inference based on the vector autoregressive and moving average model, 65-102, in Characterizing Interdependencies of Multiple Time Series Ch. 4, 2017.11.
3. Dahiru A. Bala, Taro Takimoto, Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach, Borsa Istanbul Review, 17, 1, 25-48, 2017.02.
4. Dahiru A. Bala, Taro Takimoto, Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skew-t approach, Faculty of Economics Kyushu University Discussion Paper No.2016-4, 1-42, 2016.07, [URL].
5. Dahiru A. Bala, Taro Takimoto, Nonlinear dynamics in Japan's financial returns volatility: A Markov-switching GARCH approach, Studies in Applied Economics (応用経済学研究), 9, 26-60, 2016.03.
6. Naoki Sakamoto, Taro Takimoto, Tax, spend, and democracy indices in Japan, Yamagata University FLSS DP, 2015-E01, 1-49, 2015.10.
7. Taro Takimoto, Naoki Sakamoto, Japan's revenue-expenditure nexus, Faculty of Economics Kyushu University Discussion Paper No.2014-3, 1-46, 2014.07, [URL].
8. Predicting 1-month survival after out-of-hospital cardiac arrest with/without defibrillation: Bivariate probit model using the Utstein style data (in Japanese), Japanese Journal of Health Economic and Policy,25,1,50-69,2013.
9. Yuzo Hosoya, Taro Takimoto, Patrial measures of time-series interdependence, Faculty of Economics Kyushu University Discussion Paper No.2013-9, 1-31, 2013.11, [URL].
10. Takimoto, T. and Sakamoto, N. (2012) The revenue and expenditure nexus: Evidence from the central and local governments in Japan (in Japanese). Studies in Applied Economics, 6, 134-148.
11. Hosoya, Y. and Takimoto, T., Measuring the partial causality in the frequency domain, Faculty of Economics Kyushu University Discussion Paper No. 2012-4, 2012.12, [URL].
12. Sakata, K., Takimoto, T., Nakajima, K., Narukawa, M., Sakamoto, N., and Abe, M. Faculty of Economics Kyushu University Discussion Paper Series No. 2012-1, [URL].
13. Takimoto, T. and Sakamoto, N., The revenue and expenditure nexus based on TAR/M-TAR models with a break in Japan (in Japanese), Keizaigaku-Kenkyu, Kyushu University, 77, 111-138, 2011.12, [URL].
14. Takimoto, T. and Sakamoto, N., The revenue and expenditure nexus: Evidence from the central and local governments in Japan (in Japanese). Faculty of Economics Kyushu University Discussion Paper No. 2011-7, [URL].
15. Hosoya, Y. and Takimoto, T., A numerical method for factorizing the rational spectral density matrix, Journal of Time Series Analysis, 31, 4, 229-240, 2010.07, Improving Rozanov (1967, Stationary Random Processes. San Francisco: Holden-day.)’s algebraic-analytic solution
to the canonical factorization problem of the rational spectral density matrix, this article presents a feasible
computational procedure for the spectral factorization. We provide numerical comparisons of our procedure with
the Bhansali’s (1974, Journal of the Statistical Society, B36, 61.) and Wilson’s (1972 SIAM Journal on Applied
Mathematics, 23, 420) methods and illustrate its application in estimation of invertible MA representation. The
proposed procedure is usefully applied to linear predictor construction, causality analysis and other problems
where a canonical transfer function specification of a stationary process in question is required..
16. Sakai, Y. and Takimoto, T. On empirical tests of the random walk proposition for consumption and the permanent income hypothesis (in Japanese), Seikei Kenkyu,47,1,1-21,2010.06.
17. Hosoya, Y. and Takimoto, T., An approach to time-series partial causal analysis, Annual Report of the Economic Society, Tohoku University, vol.68, 53-75, 2007.03.
18. Takimoto, T. and Hosoya, Y., Inference on the cointegration rank and a procedure for VARMA root-modification, Journal of the Japan Statistical Society, Vol.36, No.2, 149-171, 2006.12.
19. Hosoya, Y. and Takimoto, T., A numerical method for factorizing the rational spectral density matrix, Graduate School of Economics Kyushu University Discussion Paper No.2006-5, 2006.08.
20. Hosoya, Y., Yao, F. and Takimoto, T., Testing the one-way effect in the presence of trend breaks, The Japanese Economic Review, vol.56, 107-126, 2005.03.
21. Takimoto, T. and Hosoya, Y., Three-step procedure for estimating and testing cointegrated ARMAX models, The Japanese Economic Review, vol.55, 418-450, 2004.12.
22. Hosoya, Y. and Takimoto, T., Inference on general unit-root cointegration and associated computational methods, Developments of Statistical Inference: Preprint for a Meeting in Honour of Professor Kei Takeuchi on the Occasion of His 70th Birthday, 45-66, 2003.11.
23. Takimoto, T., Computational methods for identification and estimation of VARMA model, Annual Report of the Economic Society, Tohoku University, vol.63, 199-224, 2001.11.
24. Hosoya, Y. and Takimoto, T., Testing the cointegration rank in the presence of trend breaks, Annual Report of the Economic Society, Tohoku University, vol.61, 615-635, 2000.01.