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Yamazaki Daisuke Last modified date:2021.04.30

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


Graduate School
Undergraduate School


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Homepage
https://kyushu-u.pure.elsevier.com/en/persons/daisuke-yamazaki
 Reseacher Profiling Tool Kyushu University Pure
Academic Degree
Ph.D. in Economics
Field of Specialization
Econometrics
Research
Research Interests
  • Research on structural breaks for time series and panel data models
    keyword : structural break, long-run variance
    2012.04.
Academic Activities
Papers
1. 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..
2. 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..
Membership in Academic Society
  • Japanese Economic Association
  • Japan Statistical Society
  • Kyushu Association of Economic Science