Language：English   Publishing type：Research paper (scientific journal)  

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.

DOI： https://doi.org/10.1111/manc.12080

Other Link： http://onlinelibrary.wiley.com/doi/10.1111/manc.12080/abstract

Language：English   Publishing type：Research paper (scientific journal)  

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.

DOI： http://dx.doi.org/10.1080/00949655.2014.945089

Other Link： http://www.tandfonline.com/doi/abs/10.1080/00949655.2014.945089

Language：Japanese   Publishing type：Research paper (scientific journal)  

本稿では，誤差項に系列相関が存在する場合の定数項シフトの検定について考察する．先行研究により，LMタイプの検定の検出力は，誤差項に系列相関がある場合には，構造変化の度合いが大きくなるほど検出力が下がってしまうという「検出力の非単調性問題」が存在することが知られている．一方，ワルド・タイプの検定では，検出力の非単調性問題は存在しないものの，検定のサイズが大幅に歪む場合がある．先行研究ではこれらの問題を回避する方法が提案されており，本稿でも，既存の方法をさらに修正することにより，有限標本特性がより優れている検定方法を提案する．新たな手法の有限標本特性は，モンテ・カルロ実験で分析され，サイズ・検出力の両面で，既存の検定よりも優れていてることが確認された．

DOI： http://doi.org/10.11329/jjssj.44.61

Event date： 2020.1

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：一橋大学   Country：Japan  

Event date： 2019.9

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：滋賀大学   Country：Japan  

Event date： 2019.1

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：宮崎公立大学   Country：Japan  

Event date： 2018.9 - 2019.9

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：中央大学   Country：Japan  

Event date： 2017.9

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：南山大学   Country：Japan  

Event date： 2017.6

Language：English   Presentation type：Oral presentation (general)  

Venue：National Taipei University   Country：Taiwan, Province of China  

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.

Event date： 2017.1

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：広島大学   Country：Japan  

Event date： 2016.11

Language：English   Presentation type：Oral presentation (general)  

Venue：一橋大学   Country：Japan  

Event date： 2016.1

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：東京大学   Country：Japan  

Event date： 2015.9

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：岡山大学   Country：Japan  

Event date： 2015.5

Language：English   Presentation type：Oral presentation (general)  

Venue：一橋大学   Country：Japan  

Event date： 2014.12

Language：English   Presentation type：Oral presentation (general)  

Venue：西江大学   Country：Korea, Republic of  

Event date： 2014.9

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：東京大学   Country：Japan  

Event date： 2014.5

Language：English   Presentation type：Oral presentation (general)  

Venue：中央研究院   Country：Taiwan, Province of China  

Event date： 2014.1

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：京都大学   Country：Japan  

Event date： 2013.7

Language：English   Presentation type：Oral presentation (general)  

Venue：成均館大学   Country：Korea, Republic of  

Event date： 2013.6

Language：Japanese  

Venue：富山大学   Country：Japan  

Event date： 2013.1

Language：Japanese   Presentation type：Oral presentation (general)  

Venue：一橋大学   Country：Japan  

Event date： 2012.11

Language：English   Presentation type：Oral presentation (general)  

Venue：西江大学   Country：Korea, Republic of