| Yamazaki Daisuke | Last modified date：2023.11.22 |
Associate Professor /
Fields in Economic Systems /
Department of Economic Engineering /
Faculty of Economics
Papers
| 1. | Daisuke Yamazaki, A Note on Asymptotic Properties of Time Series Models With a Trend Break, SSRN, http://dx.doi.org/10.2139/ssrn.3917796, 2021.11, In this paper, we consider the asymptotic properties of time series models with a break in trend. We show that, for the model with a joint broken trend with stationary errors, the asymptotic properties depend on the break magnitude. When the break magnitude is greater than $O(T^{-1/2})$, the break date estimator is super-consistent, and the asymptotic properties of the estimators of the intercept and trend coefficients do not depend on whether the break date is known or estimated. These results indicate that the previously established results hold only under the "shrinking shift" asymptotic framework, in which the break magnitude shrinks to zero sufficiently fast. Simulation results illustrate that the finite sample approximation based on the proposed asymptotic theory works well.. |
| 2. | Daisuke Yamazaki, Improved confidence sets for the date of a structural break, Econometric Reviews, https://doi.org/10.1080/07474938.2020.1780730, 40, 257-289, 2021.04, [URL], Prior studies have proposed constructing confidence sets for the break date by inverting a sequence of tests for the date of a structural break. In this study, we improve these confidence sets by taking the direction of the break into account. Even when the break direction is unknown, we can consistently estimate it, enabling us to use the proposed method. Simulation results show that the proposed method effectively reduces the length of the confidence sets, while maintaining a good coverage rate. An empirical example illustrates the usefulness of the proposed method.. |
| 3. | Daisuke Yamazaki, Testing for shifts in mean with monotonic power against multiple structural changes, Journal of Statistical Computation and Simulation, https://doi.org/10.1080/00949655.2019.1606916, 89, 11, 2006-2030, 2019.04, [URL], It is known that several widely used structural change tests have non-monotonic power because the long-run variance is poorly estimated under the alternative hypothesis. In this paper, we propose a modified long-run variance estimator to alleviate this problem. We theoretically show that the tests with our long-run variance estimator are consistent against large multiple structural changes. Simulation results show that the proposed test performs well in finite samples.. |
| 4. | Daisuke Yamazaki, Eiji Kurozumi, Improving the finite sample performance of tests for a shift in mean, Journal of Statistical Planning and Inference, http://doi.org/10.1016/j.jspi.2015.05.002, 167, 144-173, 2015.12, [URL], It is widely known that structural break tests based on the long-run variance estimator, which is estimated under the alternative, suffer from serious size distortion when the errors are serially correlated. In this paper, we propose bias-corrected tests for a shift in mean by correcting the bias of the long-run variance estimator up to O(1/T). Simulation results show that the proposed tests have good size and high power.. |
| 5. | Kaddour Hadri, Eiji Kurozumi, Daisuke Yamazaki, Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests, The Manchester School, https://doi.org/10.1111/manc.12080, 83, 6, 676-700, 2015.12, [URL], This paper proposes the use of an improved covariate unit root test which exploits the cross-sectional dependence information when the panel data null hypothesis of a unit root is rejected. More explicitly, to increase the power of the test, we suggest the utilization of more than one covariate and offer several ways to select the ‘best’ covariates from the set of potential covariates represented by the individuals in the panel. Employing our methods, we investigate the Prebish-Singer hypothesis for nine commodity prices. Our results show that this hypothesis holds for all but the price of petroleum.. |
| 6. | Daisuke Yamazaki, Eiji Kurozumi, Testing for parameter constancy in the time series direction in panel data models, Journal of Statistical Computation and Simulation, http://dx.doi.org/10.1080/00949655.2014.945089, 85, 14, 2874-2902, 2015.08, [URL], We propose tests for parameter constancy in the time series direction in panel data models. We construct a locally best invariant test based on Tanaka [Time series analysis: nonstationary and noninvertible distribution theory. New York: Wiley; 1996] and an asymptotically point optimal test based on Elliott and Müller [Efficient tests for general persistent time variation in regression coefficients. Rev Econ Stud. 2006;73:907–940]. We derive the limiting distributions of the test statistics as T→∞ while N is fixed, and calculate the critical values by applying numerical integration and response surface regression. Simulation results show that the proposed tests perform well if we apply them appropriately.. |
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