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Publications

by members of

Hitotsubashi University → Graduate School of Economics/Faculty of Economics → Center for Research on Contemporary Economic Systems

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2015

  1. KUROZUMI, Eiji & 黒住, 英司 & YAMAMOTO, Yohei & 山本, 庸平, 2015, "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2015-01, Jan.

2014

  1. YAMAZAKI, Daisuke & 山崎, 大輔 & KUROZUMI, Eiji & 黒住, 英司, 2014, "Improving the Finite Sample Performance of Tests for a Shift in Mean," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2014-16, Nov.

2013

  1. Hadri, Kaddour & Kurozumi, Eiji & 黒住, 英司 & Rao, Yao, 2013, "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2013-12, Sep.

2012

  1. Eiji Kurozumi, 2012, "Testing for Multiple Structural Changes with Non-Homogeneous Regressors," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-227, Feb.
  2. Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri, 2012, "Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-256, Nov.

2011

  1. Eiji Kurozumi & Khashbaatar Dashtseren, 2011, "Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-187, Apr.
  2. Eiji Kurozumi & Kohei Aono, 2011, "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-192, May.

2010

  1. Eiji Kurozumi & Purevdorj Tuvaandorj, 2010, "Model Selection Criteria in Multivariate Models with Multiple Structural Changes," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd10-144, Jun.
  2. Shinya Tanaka & Eiji Kurozumi, 2010, "Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd10-156, Dec.

2009

  1. Eiji Kurozumi & Shinya Tanaka, 2009, "Reducing the Size Distortion of the KPSS Test," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-085, Sep.

2008

  1. Kaddour Hadri & Eiji Kurozumi, 2008, "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-016, Oct.
  2. In Choi & Eiji Kurozumi, 2008, "Model Selection Criteria for the Leads-and-Lags Cointegrating Regression," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-006, Oct.

2007

  1. Eiji Kurozumi, 2007, "Keizai jikeiretsu bunseki to tanikon kentei: koremade no hatten to kongo no tenbo [in Japanese]," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d07-228, Dec.

2006

  1. Kazuhiko Hayakawa & Eiji Kurozumi, 2006, "The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-194, Dec.
  2. Eiji Kurozumi & Yoichi Arai, 2006, "Test for the null hypothesis of cointegration with reduced size distortion," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-190, Nov.
  3. Eiji Kurozumi & Kazuhiko Hayakawa, 2006, "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-197, Dec.

2005

  1. Kurozumi, Eiji & 黒住, 英司, 2005, "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2005-12, Nov.
  2. Kurozumi, Eiji & 黒住, 英司 & Arai, Yoichi & 荒井, 洋一, 2005, "Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2005-08, Nov.
  3. Yoichi Arai & Eiji Kurozumi, 2005, "Testing for the Null Hypothesis of Cointegration with Structural Breaks," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-319, Feb.
  4. Yoichi Arai & Eiji Kurozumi, 2005, "Testing for the Null Hypothesis of Cointegration with Structural Breaks (Subsequently published in "Econometric Reviews", Volume 26, Issue 6 November 2007, pages 705 - 739. )," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-022, Feb.
  5. Kurozumi, Eiji & 黒住, 英司 & Arai, Yoichi & 荒井, 洋一, 2005, "Efficient Estimation and Inference in Cointegrating Regressions with Structural Change," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2004-09, Jan.

2003

  1. Kurozumi, Eiji & 黒住, 英司, 2003, "Testing the Rank of a Sub-Matrix of Cointegration with a Deterministic Trend," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2003-14, Dec.
  2. Kurozumi, Eiji & 黒住, 英司, 2003, "The Rank of a Sub-Matrix of Cointegration," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2002-15, Mar.
  3. Yamamoto, Taku & 山本, 拓 & Kurozumi, Eiji & 黒住, 英司, 2003, "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2003-12, Jun.

Journal articles

2015

  1. Kaddour Hadri & Eiji Kurozumi & Daisuke Yamazaki, 2015, "Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests," Manchester School, University of Manchester, volume 83, issue 6, pages 676-700, December.
  2. Kurozumi Eiji, 2015, "Testing for Multiple Structural Changes with Non-Homogeneous Regressors," Journal of Time Series Econometrics, De Gruyter, volume 7, issue 1, pages 1-35, January, DOI: 10.1515/jtse-2012-0019.

2014

  1. Choi, In & Kurozumi, Eiji, 2014, "The Et Interview: Professor Katsuto Tanaka," Econometric Theory, Cambridge University Press, volume 30, issue 2, pages 474-490, April.

2013

  1. Kurozumi, Eiji & Aono, Kohei, 2013, "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 54, issue 2, pages 231-250, December, DOI: 10.15057/26018.

2012

  1. Tanaka, Shinya & Kurozumi, Eiji, 2012, "Investigating finite sample properties of estimators for approximate factor models when N is small," Economics Letters, Elsevier, volume 116, issue 3, pages 465-468, DOI: 10.1016/j.econlet.2012.04.044.
  2. Arezki, Rabah & Hadri, Kaddour & Kurozumi, Eiji & Rao, Yao, 2012, "Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break," Economics Letters, Elsevier, volume 117, issue 3, pages 814-816, DOI: 10.1016/j.econlet.2012.08.035.
  3. Hadri, Kaddour & Kurozumi, Eiji, 2012, "A simple panel stationarity test in the presence of serial correlation and a common factor," Economics Letters, Elsevier, volume 115, issue 1, pages 31-34, DOI: 10.1016/j.econlet.2011.11.036.
  4. Choi, In & Kurozumi, Eiji, 2012, "Model selection criteria for the leads-and-lags cointegrating regression," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 224-238, DOI: 10.1016/j.jeconom.2012.01.021.

2011

  1. Kurozumi, Eiji & Tuvaandorj, Purevdorj, 2011, "Model selection criteria in multivariate models with multiple structural changes," Journal of Econometrics, Elsevier, volume 164, issue 2, pages 218-238, October.
  2. Hadri, Kaddour & Kurozumi, Eiji, 2011, "A Locally Optimal Test for No Unit Root in Cross-sectionally Dependent Panel Data," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 52, issue 2, pages 165-184, December, DOI: 10.15057/22026.

2010

  1. Eiji Kurozumi & Shinya Tanaka, 2010, "Reducing the size distortion of the KPSS test," Journal of Time Series Analysis, Wiley Blackwell, volume 31, issue 6, pages 415-426, November, DOI: 10.1111/j.1467-9892.2010.00674.x.

2009

  1. Kurozumi, Eiji & Hayakawa, Kazuhiko, 2009, "Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors," Journal of Econometrics, Elsevier, volume 149, issue 2, pages 118-135, April.
  2. Kurozumi, Eiji, 2009, "Construction of Stationarity Tests with Less Size Distortions," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 50, issue 1, pages 87-105, June, DOI: 10.15057/17465.

2008

  1. Eiji Kurozumi & Yoichi Arai, 2008, "Test for the null hypothesis of cointegration with reduced size distortion," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 3, pages 476-500, May, DOI: 10.1111/j.1467-9892.2007.00564.x.
  2. Hayakawa, Kazuhiko & Kurozumi, Eiji, 2008, "The role of “leads” in the dynamic OLS estimation of cointegrating regression models," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 3, pages 555-560, DOI: 10.1016/j.matcom.2008.02.027.

2007

  1. Eiji Kurozumi & Yoichi Arai, 2007, "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, volume 28, issue 4, pages 545-575, July, DOI: 10.1111/j.1467-9892.2006.00524.x.
  2. Yoichi Arai & Eiji Kurozumi, 2007, "Testing for the Null Hypothesis of Cointegration with a Structural Break," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 6, pages 705-739, DOI: 10.1080/07474930701653776.

2006

  1. Taku Yamamoto & Eiji Kurozumi, 2006, "Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 5, pages 703-723, September, DOI: 10.1111/j.1467-9892.2006.00484.x.

2005

  1. Eiji Kurozumi, 2005, "Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 67, issue 2, pages 181-206, April, DOI: 10.1111/j.1468-0084.2004.00116.x.
  2. Kurozumi, Eiji, 2005, "The Rank Of A Submatrix Of Cointegration," Econometric Theory, Cambridge University Press, volume 21, issue 2, pages 299-325, April.
  3. Kurozumi, Eiji & Chigira, Hiroaki & Yamamoto, Taku, 2005, "Equivalence Of Two Expressions Of The Impact Matrix," Econometric Theory, Cambridge University Press, volume 21, issue 4, pages 870-875, August.
  4. Yamamoto, Taku & Kurozumi, Eiji, 2005, "Lag augmentation in regression models with possibly integrated regressors," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 46, issue 2, pages 159-175, December, DOI: 10.15057/7656.

2002

  1. Eiji Kurozumi, 2002, "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 2, pages 243-270, DOI: 10.1081/ETC-120014351.
  2. Kurozumi, Eiji, 2002, "Testing for stationarity with a break," Journal of Econometrics, Elsevier, volume 108, issue 1, pages 63-99, May.
  3. Kurozumi, Eiji, 2002, "The Limiting Properties Of The Canova And Hansen Test Under Local Alternatives," Econometric Theory, Cambridge University Press, volume 18, issue 5, pages 1197-1220, October.

2000

  1. Eiji Kurozumi & Taku Yamamoto, 2000, "Modified lag augmented vector autoregressions," Econometric Reviews, Taylor & Francis Journals, volume 19, issue 2, pages 207-231, DOI: 10.1080/07474930008800468.

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