Katsumi Shimotsu

Contact Information

Department of Economics
Hitotsubashi University
email

Teaching

  • Introductory Statistics

    Publications

  • “Decline in the Persistence of Real Exchange Rates: But Not Sufficient for Purchasing Power Parity”, with Tatsuyoshi Okimoto, April 2010. Forthcoming in Journal of the Japanese and International Economies.

  • “Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend”, Econometric Theory 26(2), April 2010, pp. 501-540. © Cambridge University Press.

  • “Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test”, with Yu Ren, Journal of Empirical Finance 16(3), June 2009, pp. 483-506.

  • “Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices”, with Hiroyuki Kasahara, Econometrica 77(1), January 2009, pp. 135-175. The old version is available as QED working paper #1092.

  • “Covariance-based Orthogonality Tests for Regressors with Unknown Persistence”, with Alex Maynard, Econometric Theory 25(1), January 2009, pp. 63-116.

  • “Pseudo-likelihood Estimation and Bootstrap Inference for Structural Discrete Markov Decision Models”, with Hiroyuki Kasahara, Journal of Econometrics 146(1), September 2008, pp. 92-106. Supplymentary appendix containing some technical details and proofs.

  • “Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach”, with Morten Ø. Nielsen, Journal of Econometrics 141(2), December 2007, pp. 574-596.

  • “Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes”, Journal of Econometrics 137(2), April 2007, pp. 277-310.

  • “Local Whittle Estimation of Fractional Integration and Some of its Variants”, with Peter C.B. Phillips, Journal of Econometrics 103(2), February 2006, pp. 209-233.

  • “Exact Local Whittle Estimation of Fractional Integration”, with Peter C.B. Phillips, Annals of Statistics 33(4), August 2005, pp. 1890-1933.

  • “Local Whittle Estimation in Nonstationary and Unit Root Cases”, with Peter C.B. Phillips, Annals of Statistics 32(2), April 2004, pp. 656-692.

  • “Pooled Log Periodogram Regression”, with Peter C.B. Phillips, Journal of Time Series Analysis 23(1), January 2002, pp. 57-93.

    • Working Papers

  • “Sequential Estimation of Structural Models with a Fixed Point Constraint”, with Hiroyuki Kasahara, November 2009. Supplymentary appendix containing some technical details.

  • “Empirical Likelihood Block Bootstrapping”, with Jason Allen and Allan W. Gregory, March 2010.

  • “Nonparametric Identification and Estimation of Multivariate Mixtures”, with Hiroyuki Kasahara, August 2008. The old version is available as QED working paper #1153.

  • “Simple (but Effective) Tests of Long Memory versus Structural Breaks”, December 2006.

  • “Enrollment Responses to Labour Market Conditions: A Study of the Canadian Market for Scientists and Engineers”, with Sumon Majumdar, September 2006.

  • “Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case”, with Peter C.B. Phillips, Cowles Foundation Discussion Paper No.1265. (available at http://cowles.econ.yale.edu)

    • Matlab codes

  • Matlab codes for local Whittle estimation and exact local Whittle estimation of the memory parameter (d) in fractionally integrated (I(d)) time series (elwcode.zip)

  • Jon Breslaw of Econotron Software has kindly converted the Matlab code to Gauss. It is freely downloadable from the “download” section of www.econotron.com .

  • Matlab codes for cointegrating rank estimation with an exchange rate example. They reproduce the results in Nielsen and Shimotsu (2006). (fcicode.zip) These code require the codes in elwcode.zip above.

  • Matlab codes for two tests of true versus spurious I(d). (spurious.zip) See Shimotsu (2006) “Simple (but Effective) Tests of Long Memory versus Structural Breaks” above. These code require the codes in elwcode.zip above.

    • Editorial Positions

    Associate Editor, Annals of Institute of Statistical Mathematics, 2009-