Details about Katsumi Shimotsu

Access statistics for papers by Katsumi Shimotsu.

Last updated 2015-02-04. Update your information in the RePEc Author Service.

Short-id: psh189

Working Papers

2014

1. The Effect of Large-Scale Retailers on Price Level: Evidence from Japanese data for 1977-1992
   Discussion papers, Research Institute of Economy, Trade and Industry (RIETI)

2013

2. Does an R&D Tax Credit Affect R&D Expenditure? The Japanese R&D Tax Credit Reform in 2003
   CESifo Working Paper Series, CESifo
   See also Journal Article Does an R&D tax credit affect R&D expenditure? The Japanese R&D tax credit reform in 2003, Journal of the Japanese and International Economies, Elsevier (2014) View citations (12) (2014)
3. Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
   Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2012) View citations (1)

2012

4. Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2012)
   See also Journal Article Non-parametric identification and estimation of the number of components in multivariate mixtures, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2014) View citations (23) (2014)
5. Testing the Number of Components in Finite Mixture Models
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (3)
   Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2012) View citations (3)

2011

6. How Much Do R&D Tax Credits Affect R&D Expenditures? Japanese tax credit reform in 2003
   Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) View citations (1)
7. Sequential Estimation of Dynamic Programming Models with Unobserved Heterogeneity
   Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (5)

2010

8. Decline in the Persistence of Real Exchange Rates: But Not Sufficient for Purchasing Power Parity
   Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (9)
   See also Journal Article Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity, Journal of the Japanese and International Economies, Elsevier (2010) View citations (8) (2010)
9. Empirical Likelihood Block Bootstrapping
   Discussion Papers, Graduate School of Economics, Hitotsubashi University
   Also in Staff Working Papers, Bank of Canada (2008) View citations (1)
   Working Paper, Economics Department, Queen's University (2008) View citations (1)
   See also Journal Article Empirical likelihood block bootstrapping, Journal of Econometrics, Elsevier (2011) View citations (12) (2011)
10. Exact Local Whittle Estimation of Fractionally Cointegrated Systems
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (29)
    See also Journal Article Exact local Whittle estimation of fractionally cointegrated systems, Journal of Econometrics, Elsevier (2012) View citations (32) (2012)
11. Nonparametric Identification of Multivariate Mixtures
    Discussion Papers, Graduate School of Economics, Hitotsubashi University

2009

12. Sequential Estimation of Structural Models with a Fixed Point Constraint
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (2)
    Also in CESifo Working Paper Series, CESifo (2008) View citations (3)
    Working Paper, Economics Department, Queen's University (2008) View citations (2)
    See also Journal Article Sequential Estimation of Structural Models With a Fixed Point Constraint, Econometrica, Econometric Society (2012) View citations (42) (2012)

2007

13. Covariance-based Orthogonality Tests For Regressors With Unknown Persistence
    Working Paper, Economics Department, Queen's University View citations (1)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (2)
    Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (2)
    See also Journal Article COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE, Econometric Theory, Cambridge University Press (2009) View citations (8) (2009)
14. Financial Market Integration And World Economic Stabilization Toward Purchasing Power Parity
    Working Paper, Economics Department, Queen's University View citations (1)
15. Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test
    Working Paper, Economics Department, Queen's University
    See also Journal Article Improvement in finite sample properties of the Hansen-Jagannathan distance test, Journal of Empirical Finance, Elsevier (2009) View citations (11) (2009)
16. Nonparametric Identification And Estimation Of Multivariate Mixtures
    Working Paper, Economics Department, Queen's University View citations (2)

2006

17. Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach
    Working Paper, Economics Department, Queen's University View citations (9)
    See also Journal Article Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach, Journal of Econometrics, Elsevier (2007) View citations (57) (2007)
18. Enrollment Responses To Labour Market Conditions: A Study Of The Canadian Market For Scientists And Engineers
    Working Paper, Economics Department, Queen's University
19. Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend
    Working Paper, Economics Department, Queen's University View citations (58)
    See also Journal Article EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND, Econometric Theory, Cambridge University Press (2010) View citations (116) (2010)
20. Gaussian Semiparametric Estimation Of Multivariate Fractionally Integrated Processes
    Working Paper, Economics Department, Queen's University
    See also Journal Article Gaussian semiparametric estimation of multivariate fractionally integrated processes, Journal of Econometrics, Elsevier (2007) View citations (64) (2007)
21. Nested Pseudo-likelihood Estimation And Bootstrap-based Inference For Structural Discrete Markov Decision Models
    Working Paper, Economics Department, Queen's University View citations (2)
    Also in University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics (2006) View citations (5)
22. Nonparametric Identification And Estimation Of Finite Mixture Models Of Dynamic Discrete Choices
    Working Paper, Economics Department, Queen's University View citations (5)
    Also in University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics (2006) View citations (5)
23. Simple (but Effective) Tests Of Long Memory Versus Structural Breaks
    Working Paper, Economics Department, Queen's University View citations (68)

2004

24. Exact Local Whittle Estimation of Fractional Integration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)

2003

25. Local Whittle Estimation in Nonstationary and Unit Root Cases
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (33)

2000

26. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
27. Pooled Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)

Journal Articles

2014

1. Does an R&D tax credit affect R&D expenditure? The Japanese R&D tax credit reform in 2003
   Journal of the Japanese and International Economies, 2014, 31, (C), 72-97 View citations (12)
   See also Working Paper Does an R&D Tax Credit Affect R&D Expenditure? The Japanese R&D Tax Credit Reform in 2003, CESifo Working Paper Series (2013) (2013)
2. Modified Quasi-Likelihood Ratio Test for Regime Switching
   The Japanese Economic Review, 2014, 65, (1), 25-41 View citations (3)
3. Non-parametric identification and estimation of the number of components in multivariate mixtures
   Journal of the Royal Statistical Society Series B, 2014, 76, (1), 97-111 View citations (23)
   See also Working Paper Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures, CIRJE F-Series (2012) (2012)

2012

4. Exact local Whittle estimation of fractionally cointegrated systems
   Journal of Econometrics, 2012, 169, (2), 266-278 View citations (32)
   See also Working Paper Exact Local Whittle Estimation of Fractionally Cointegrated Systems, Discussion Papers (2010) View citations (29) (2010)
5. Sequential Estimation of Structural Models With a Fixed Point Constraint
   Econometrica, 2012, 80, (5), 2303-2319 View citations (42)
   See also Working Paper Sequential Estimation of Structural Models with a Fixed Point Constraint, Discussion Papers (2009) View citations (2) (2009)

2011

6. Empirical likelihood block bootstrapping
   Journal of Econometrics, 2011, 161, (2), 110-121 View citations (12)
   See also Working Paper Empirical Likelihood Block Bootstrapping, Discussion Papers (2010) (2010)

2010

7. Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity
   Journal of the Japanese and International Economies, 2010, 24, (3), 395-411 View citations (8)
   See also Working Paper Decline in the Persistence of Real Exchange Rates: But Not Sufficient for Purchasing Power Parity, Discussion Papers (2010) View citations (9) (2010)
8. EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
   Econometric Theory, 2010, 26, (2), 501-540 View citations (116)
   See also Working Paper Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend, Working Paper (2006) View citations (58) (2006)

2009

9. COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE
   Econometric Theory, 2009, 25, (1), 63-116 View citations (8)
   See also Working Paper Covariance-based Orthogonality Tests For Regressors With Unknown Persistence, Working Paper (2007) View citations (1) (2007)
10. Improvement in finite sample properties of the Hansen-Jagannathan distance test
    Journal of Empirical Finance, 2009, 16, (3), 483-506 View citations (11)
    See also Working Paper Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test, Working Paper (2007) (2007)
11. Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices
    Econometrica, 2009, 77, (1), 135-175 View citations (167)

2008

12. Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
    Journal of Econometrics, 2008, 146, (1), 92-106 View citations (23)

2007

13. Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
    Journal of Econometrics, 2007, 141, (2), 574-596 View citations (57)
    See also Working Paper Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach, Working Paper (2006) View citations (9) (2006)
14. Gaussian semiparametric estimation of multivariate fractionally integrated processes
    Journal of Econometrics, 2007, 137, (2), 277-310 View citations (64)
    See also Working Paper Gaussian Semiparametric Estimation Of Multivariate Fractionally Integrated Processes, Working Paper (2006) (2006)

2006

15. Local Whittle estimation of fractional integration and some of its variants
    Journal of Econometrics, 2006, 130, (2), 209-233 View citations (82)