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Takashi Yamagata

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This is information that was supplied by Takashi Yamagata in registering through RePEc. If you are Takashi Yamagata , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Takashi
Middle Name:
Last Name: Yamagata
Suffix:

RePEc Short-ID: pya208

Email: [This author has chosen not to make the email address public]
Homepage: http://www.york.ac.uk/depts/econ/profiles/details/yamagatat.htm
Postal Address:
Phone:

Affiliation

Department of Economics and Related Studies
University of York
Location: York, United Kingdom
Homepage: http://www.york.ac.uk/economics/
Email:
Phone: (0)1904 323776
Fax: (0)1904 323759
Postal: York YO10 5DD
Handle: RePEc:edi:deyoruk (more details at EDIRC)

Works

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Working papers

  1. M Hashem Pesaran & Takashi Yamagata, 2012. "Testing CAPM with a Large Number of Assets," Discussion Papers 12/05, Department of Economics, University of York.
  2. Pesaran, M. H. & Yamagata, T., 2012. "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics 1210, Faculty of Economics, University of Cambridge.
  3. Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity-Robust F-Test Statistic for Individual Effects," The School of Economics Discussion Paper Series 1124, Economics, The University of Manchester.
  4. Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," The School of Economics Discussion Paper Series 1118, Economics, The University of Manchester.
  5. Sarafidis, Vasilis & Yamagata, Takashi, 2010. "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence," MPRA Paper 25182, University Library of Munich, Germany.
  6. L Godfrey & T Yamagata, 2010. "A robust test for error cross-section correlation in panel models," Discussion Papers 10/16, Department of Economics, University of York.
  7. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York.
  8. Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi, 2007. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," IZA Discussion Papers 3254, Institute for the Study of Labor (IZA).
  9. Holly, S. & Pesaran, M.H. & Yamagata. T., 2006. "A Spatio-Temporal Model of House Prices in the US," Cambridge Working Papers in Economics 0654, Faculty of Economics, University of Cambridge.
  10. C Orme & Y Yamagata, 2006. "The Asymptotic Distribution of the F-Test Statistic for Individual Effects," The School of Economics Discussion Paper Series 0610, Economics, The University of Manchester.
  11. Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006. "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics 0651, Faculty of Economics, University of Cambridge.
  12. Pesaran, M.H. & Ullah, A. & Yamagata. T., 2006. "A Bias-Adjusted LM Test of Error Cross Section Independence," Cambridge Working Papers in Economics 0641, Faculty of Economics, University of Cambridge.
  13. M. Hashem Pesaran & Ron P. Smith & Takashi Yamagata & Liudmyla Hvozdyk, 2006. "Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures," CESifo Working Paper Series 1704, CESifo Group Munich.
  14. Yamagata. T., 2005. "On Testing Sample Selection Bias under the Multicollinearity Problem," Cambridge Working Papers in Economics 0522, Faculty of Economics, University of Cambridge.
  15. M. Hashem Pesaran & Takashi Yamagata, 2005. "Testing Slope Homogeneity in Large Panels," CESifo Working Paper Series 1438, CESifo Group Munich.
  16. T Yamagata, 2003. "A Nonnormality and Heteroskedasticity Robust Test for Skewness in Regression Models," The School of Economics Discussion Paper Series 0328, Economics, The University of Manchester.
  17. S Holly & M Hashem Pesaran & T Yamagata, . "Spatial and Temporal Diffusion of House Prices in the UK," Discussion Papers 09/32, Department of Economics, University of York.

Articles

  1. Pesaran, M. Hashem & Vanessa Smith, L. & Yamagata, Takashi, 2013. "Panel unit root tests in the presence of a multifactor error structure," Journal of Econometrics, Elsevier, vol. 175(2), pages 94-115.
  2. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
  3. Smith, L. Vanessa & Yamagata, Takashi, 2011. "Firm level return–volatility analysis using dynamic panels," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 847-867.
  4. Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011. "The spatial and temporal diffusion of house prices in the UK," Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
  5. Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "A spatio-temporal model of house prices in the USA," Journal of Econometrics, Elsevier, vol. 158(1), pages 160-173, September.
  6. Sarafidis, Vasilis & Yamagata, Takashi & Robertson, Donald, 2009. "A test of cross section dependence for a linear dynamic panel model with regressors," Journal of Econometrics, Elsevier, vol. 148(2), pages 149-161, February.
  7. M. Hashem Pesaran & Ron Smith & Takashi Yamagata & Lyudmyla Hvozdyk, 2009. "Pairwise Tests of Purchasing Power Parity," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 495-521.
  8. Yamagata, Takashi, 2008. "A joint serial correlation test for linear panel data models," Journal of Econometrics, Elsevier, vol. 146(1), pages 135-145, September.
  9. Hashem Pesaran, M. & Yamagata, Takashi, 2008. "Testing slope homogeneity in large panels," Journal of Econometrics, Elsevier, vol. 142(1), pages 50-93, January.
  10. M. Hashem Pesaran & Aman Ullah & Takashi Yamagata, 2008. "A bias-adjusted LM test of error cross-section independence," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 105-127, 03.
  11. Chris D. Orme & Takashi Yamagata, 2006. "The asymptotic distribution of the F-test statistic for individual effects," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 404-422, November.
  12. Yamagata, Takashi, 2006. "The small sample performance of the Wald test in the sample selection model under the multicollinearity problem," Economics Letters, Elsevier, vol. 93(1), pages 75-81, October.
  13. Takashi Yamagata & Chris Orme, 2005. "On Testing Sample Selection Bias Under the Multicollinearity Problem," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 467-481.

NEP Fields

27 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (2) 2006-06-03 2008-05-31
  2. NEP-CBA: Central Banking (3) 2006-04-29 2006-06-03 2012-04-23
  3. NEP-ECM: Econometrics (15) 2003-09-14 2005-03-13 2005-05-29 2006-04-29 2006-06-03 2006-06-03 2006-08-05 2006-09-23 2006-10-07 2008-01-12 2010-07-17 2010-09-25 2011-09-16 2011-11-07 2012-02-20. Author is listed
  4. NEP-EEC: European Economics (1) 2010-02-13
  5. NEP-ETS: Econometric Time Series (11) 2003-09-14 2005-03-13 2006-06-03 2006-08-05 2006-08-12 2006-09-23 2006-10-07 2008-01-12 2008-03-25 2008-06-13 2011-09-16. Author is listed
  6. NEP-EUR: Microeconomic European Issues (1) 2010-02-13
  7. NEP-FMK: Financial Markets (4) 2006-04-29 2006-06-03 2006-10-07 2012-04-23
  8. NEP-GEO: Economic Geography (5) 2006-10-07 2006-10-28 2006-11-18 2010-01-23 2010-02-13. Author is listed
  9. NEP-IFN: International Finance (2) 2006-04-29 2006-06-03
  10. NEP-MAC: Macroeconomics (2) 2006-10-07 2006-10-28
  11. NEP-MIC: Microeconomics (1) 2010-07-17
  12. NEP-URE: Urban & Real Estate Economics (5) 2006-10-07 2006-10-28 2006-11-18 2010-01-23 2010-02-13. Author is listed

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This author is among the top 5% authors according to these criteria:
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