Kyushu University Academic Staff Educational and Research Activities Database
List of Presentations
Yamazaki Daisuke Last modified date:2019.12.04

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


Presentations
1. Daisuke Yamazaki, An Improved Test for Multiple Mean Shifts of a Time Series, The 26th South Taiwan Statistics Conference and 2017 Chinese Institute of Probability and Statistics Annual Meeting, 2017.06, In order to test for shifts in the mean of a time series, we need to estimate the long-run variance of the error term for the scale adjustment. If we estimate the long-run variance under the null hypothesis of no mean shifts, the tests have non-monotonic power. On the other hand, if we estimate the long-run variance assuming mean shifts, the tests have serious size distortion. In order to cope with the problems associated with the estimation of the long-run variance, we develop an improved test for multiple mean shifts by using the bias-corrected long-run variance estimator based on Yamazaki and Kurozumi (2015). We find through simulations that the proposed test has good finite sample properties..
2. Daisuke Yamazaki, An Improved Test for Cross-Section Independence in Panel Data Models with Serially Correlated Errors, The 2016 Japan-Korea Allied Conference in Econometrics, 2016.11.
3. Daisuke Yamazaki, Testing for Shifts in Mean with Monotonic Power against Multiple Structural Changes, The 11th International Symposium on Econometric Theory and Applications (SETA 2015), 2015.05.
4. Daisuke Yamazaki, Improving the Finite Sample Performance of Tests for a Shift in Mean, The 2014 Hitotsubashi-Sogang Conference on Econometrics, 2014.12.
5. Daisuke Yamazaki, Improving the Finite Sample Performance of Tests for a Shift in Mean, The 10th International Symposium on Econometric Theory and Applications (SETA 2014), 2014.05.
6. Daisuke Yamazaki, Testing for Parameter Constancy in the Time-Series Direction in Fixed-Effect Panel Data Models, The 9th International Symposium on Econometric Theory and Applications (SETA 2013), 2013.07.
7. Daisuke Yamazaki, Testing for Parameter Constancy in the Time-Series Direction in Fixed-Effect Panel Data Models, The 2012 Hitotsubashi-Sogang Conference on Econometrics, 2012.11.