山形孝志

Yamagata Takashi

所属機関・部署：
職名：特任教授

研究分野 (1件)：経済統計

競争的資金等の研究課題 (5件)：

論文 (23件)：

M Hashem Pesaran, Takashi Yamagata. Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities. Journal of Financial Econometrics. 2023. Early View
Yoshimasa Uematsu, Takashi Yamagata. Inference in Sparsity-Induced Weak Factor Models. Journal of Business & Economic Statistics. 2023. 41. 1. 126-139
Yoshimasa Uematsu, Takashi Yamagata. Estimation of Sparsity-Induced Weak Factor Models. Journal of Business & Economic Statistics. 2023. 41. 1. 213-227
Guowei Cui, Vasilis Sarafidis, Takashi Yamagata. IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk. Econometrics Journal. 2022. forthcoming
Guowei Cui, Kazuhiko Hayakawa, Shuichi Nagata, Takashi Yamagata. A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data. Journal of Business & Economic Statistics. 2022. Published online. 1-14

講演・口頭発表等 (7件)：

Discovering the network Granger causality in large vector autoregressive models
(Maastricht-York econometrics workshop 2022)
Discovering the network Granger causality in large VAR models
(Recent Developments in Spatial Econometrics 2022)
Discovering the Network Granger Causality in Large Vector Autoregressive Models
(応用統計ワークショップ 2022)
Linear Panel Regression Models with Non-Classical Measurement Errors: An Application to Investment Equations
(Data Science Workshop 2022)
A robust approach to slope heterogeneity in linear models with interactive effects for large panel data
(International Conference on Econometrics and Statistics 2022)

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山形 孝志