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Yohei Yamamoto

Personal Details

First Name:Yohei
Middle Name:
Last Name:Yamamoto
Suffix:
RePEc Short-ID:pya247
[This author has chosen not to make the email address public]
Naka 2-1, Kunitachi, Tokyo, 186-8601, Japan
Terminal Degree:2009 Department of Economics; Boston University (from RePEc Genealogy)

Affiliation

(90%) Graduate School of Economics
Hitotsubashi University

Tokyo, Japan
http://www.econ.hit-u.ac.jp/

: +81-42-580-8000


RePEc:edi:fehitjp (more details at EDIRC)

(10%) Tokyo Center for Economic Research (TCER)

Tokyo, Japan
http://www.tcer.or.jp/

:


RePEc:edi:tctokjp (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Cheung, Yin-Wong & Fatum, Rasmus & Yamamoto, Yohei, 2017. "The Exchange Rate Effects of Macro News after the Global Financial Crisis," Globalization and Monetary Policy Institute Working Paper 305, Federal Reserve Bank of Dallas.
  2. Fatum, Rasmus & Yamamoto, Yohei & Zhu, Guozhong, 2016. "Is the Renminbi a safe haven?," Globalization and Monetary Policy Institute Working Paper 276, Federal Reserve Bank of Dallas.
  3. HORIE, Tetsushi & YAMAMOTO, Yohei, 2016. "Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets," Discussion Papers 2016-04, Graduate School of Economics, Hitotsubashi University.
  4. YAMAMOTO, Yohei, 2015. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion Papers 2015-05, Graduate School of Economics, Hitotsubashi University.
  5. KUROZUMI, Eiji & YAMAMOTO, Yohei, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.
  6. Yamamoto, Yohei, 2014. "A Modified Confidence Set for the Structural Break Date in Linear Regression Models," Discussion Papers 2014-08, Graduate School of Economics, Hitotsubashi University.
  7. Yohei Yamamoto, 2013. "Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series," Global COE Hi-Stat Discussion Paper Series gd12-280, Institute of Economic Research, Hitotsubashi University.
  8. Dukpa Kim & Yohei Yamamoto, 2013. "Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR," Global COE Hi-Stat Discussion Paper Series gd12-279, Institute of Economic Research, Hitotsubashi University.
  9. YAMAMOTO, Yohei & TANAKA, Shinya, 2013. "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers 2013-17, Graduate School of Economics, Hitotsubashi University.
  10. Yohei Yamamoto, 2012. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series gd12-249, Institute of Economic Research, Hitotsubashi University.
  11. Rasmus Fatum & Yohei Yamamoto, 2012. "Does foreign exchange intervention volume matter?," Globalization and Monetary Policy Institute Working Paper 115, Federal Reserve Bank of Dallas.
  12. Pierre Perron & Yohei Yamamoto, 2011. "A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS," Boston University - Department of Economics - Working Papers Series WP2011-054, Boston University - Department of Economics.
  13. Pierre Perron & Yohei Yamamoto, 2011. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Boston University - Department of Economics - Working Papers Series WP2011-049, Boston University - Department of Economics.
  14. Pierre Perron & Yohei Yamamoto, 2011. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series WP2011-053, Boston University - Department of Economics.
  15. Pierre Perron & Yohei Yamamoto, 2008. "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series wp2008-017, Boston University - Department of Economics.
  16. Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.

Articles

  1. Fatum, Rasmus & Yamamoto, Yohei & Zhu, Guozhong, 2017. "Is the Renminbi a safe haven?," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 189-202.
  2. Yohei Yamamoto, 2016. "Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 81-106, January.
  3. Fatum, Rasmus & Yamamoto, Yohei, 2016. "Intra-safe haven currency behavior during the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 49-64.
  4. Pierre Perron & Yohei Yamamoto, 2016. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
  5. Eiji Kurozumi & Yohei Yamamoto, 2015. "Confidence sets for the break date based on optimal tests," Econometrics Journal, Royal Economic Society, vol. 18(3), pages 412-435, October.
  6. Yamamoto, Yohei & Tanaka, Shinya, 2015. "Testing for factor loading structural change under common breaks," Journal of Econometrics, Elsevier, vol. 189(1), pages 187-206.
  7. Pierre Perron & Yohei Yamamoto, 2015. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January.
  8. Fatum, Rasmus & Yamamoto, Yohei, 2014. "Large versus small foreign exchange interventions," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 114-123.
  9. Perron, Pierre & Yamamoto, Yohei, 2014. "A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls," Econometric Theory, Cambridge University Press, vol. 30(02), pages 491-507, April.
  10. Yohei Yamamoto & Pierre Perron, 2013. "Estimating and testing multiple structural changes in linear models using band spectral regressions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Fatum, Rasmus & Yamamoto, Yohei & Zhu, Guozhong, 2016. "Is the Renminbi a safe haven?," Globalization and Monetary Policy Institute Working Paper 276, Federal Reserve Bank of Dallas.

    Cited by:

    1. MASUJIMA Yuki, 2017. "Safe Haven Currency and Market Uncertainty: Yen, renminbi, dollar, and alternatives," Discussion papers 17048, Research Institute of Economy, Trade and Industry (RIETI).

  2. YAMAMOTO, Yohei, 2015. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion Papers 2015-05, Graduate School of Economics, Hitotsubashi University.

    Cited by:

    1. Yohei Yamamoto, 2012. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series gd12-249, Institute of Economic Research, Hitotsubashi University.

  3. KUROZUMI, Eiji & YAMAMOTO, Yohei, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.

    Cited by:

    1. KUROZUMI, Eiji, 2017. "Confidence Sets for the Date of a Mean Shift at the End of a Sample," Discussion Papers 2017-06, Graduate School of Economics, Hitotsubashi University.
    2. Eo, Yunjong & Morley, James, 2011. "Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks," Working Papers 2011-07, University of Sydney, School of Economics, revised Feb 2014.
    3. KUROZUMI, Eiji & SKROBOTOV, Anton, 2016. "Confidence Sets for the Break Date in Cointegrating Regressions," Discussion Papers 2016-07, Graduate School of Economics, Hitotsubashi University.
    4. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    5. Harvey, David I. & Leybourne, Stephen J., 2016. "Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown," Economics Letters, Elsevier, vol. 145(C), pages 239-245.
    6. KUROZUMI, Eiji, 2016. "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers 2016-01, Graduate School of Economics, Hitotsubashi University.

  4. Yamamoto, Yohei, 2014. "A Modified Confidence Set for the Structural Break Date in Linear Regression Models," Discussion Papers 2014-08, Graduate School of Economics, Hitotsubashi University.

    Cited by:

    1. KUROZUMI, Eiji & YAMAMOTO, Yohei, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.
    2. KUROZUMI, Eiji, 2017. "Confidence Sets for the Date of a Mean Shift at the End of a Sample," Discussion Papers 2017-06, Graduate School of Economics, Hitotsubashi University.
    3. Eo, Yunjong & Morley, James, 2011. "Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks," Working Papers 2011-07, University of Sydney, School of Economics, revised Feb 2014.
    4. KUROZUMI, Eiji & SKROBOTOV, Anton, 2016. "Confidence Sets for the Break Date in Cointegrating Regressions," Discussion Papers 2016-07, Graduate School of Economics, Hitotsubashi University.
    5. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.

  5. Yohei Yamamoto, 2013. "Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series," Global COE Hi-Stat Discussion Paper Series gd12-280, Institute of Economic Research, Hitotsubashi University.

    Cited by:

    1. Nektarios Aslanidis & Luke Hartigan, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Discussion Papers 2016-03, School of Economics, The University of New South Wales.
    2. Luke Hartigan, 2015. "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers 2015-17, School of Economics, The University of New South Wales.
    3. Aslanidis, Nektarios & Hartigan, Luke, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Working Papers 2072/261531, Universitat Rovira i Virgili, Department of Economics.

  6. Dukpa Kim & Yohei Yamamoto, 2013. "Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR," Global COE Hi-Stat Discussion Paper Series gd12-279, Institute of Economic Research, Hitotsubashi University.

    Cited by:

    1. Eddie Gerba & Klemens Hauzenberger, 2013. "Estimating US Fiscal and Monetary Interactions in a Time Varying VAR," Studies in Economics 1303, School of Economics, University of Kent.

  7. YAMAMOTO, Yohei & TANAKA, Shinya, 2013. "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers 2013-17, Graduate School of Economics, Hitotsubashi University.

    Cited by:

    1. Laurent Callot & Johannes Tang Kristensen, 2016. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 437-479 Emerald Publishing Ltd.
    2. Yamamoto, Yohei, 2014. "A Modified Confidence Set for the Structural Break Date in Linear Regression Models," Discussion Papers 2014-08, Graduate School of Economics, Hitotsubashi University.
    3. Tatsushi Oka & Pierre Perron, 2016. "Testing for Common Breaks in a Multiple Equations System," Papers 1606.00092, arXiv.org, revised Jan 2018.
    4. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
    5. Massacci, Daniele, 2017. "Least squares estimation of large dimensional threshold factor models," Journal of Econometrics, Elsevier, vol. 197(1), pages 101-129.
    6. Luke Hartigan, 2015. "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers 2015-17, School of Economics, The University of New South Wales.
    7. HORIE, Tetsushi & YAMAMOTO, Yohei, 2016. "Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets," Discussion Papers 2016-04, Graduate School of Economics, Hitotsubashi University.
    8. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    9. Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2018.

  8. Yohei Yamamoto, 2012. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series gd12-249, Institute of Economic Research, Hitotsubashi University.

    Cited by:

    1. Bicu A.C. & Lieb L.M., 2015. "Cross-border effects of fiscal policy in the Eurozone," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
    2. Mototsugu Shintani & Zi-yi Guo, 2015. "Improving the Finite Sample Performance of Autoregression Estimators in Dynamic Factor Models: A Bootstrap Approach," Vanderbilt University Department of Economics Working Papers 15-00013, Vanderbilt University Department of Economics.
    3. Ruiz Ortega, Esther & Vicente Maldonado, Javier de, 2017. "Accurate Subsampling Intervals of Principal Components Factors," DES - Working Papers. Statistics and Econometrics. WS 23974, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2017. "Structural Factor Analysis of Interest Rate Pass Through In Four Large Euro Area Economies," Working Papers in Economics 17/07, University of Canterbury, Department of Economics and Finance.
    5. Sílvia Gonçalves & Benoit Perron, 2012. "Bootstrapping factor-augmented regression models," CIRANO Working Papers 2012s-12, CIRANO.
    6. Bai, Jushan & Li, Kunpeng & Lu, Lina, 2014. "Estimation and inference of FAVAR models," MPRA Paper 60960, University Library of Munich, Germany.
    7. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, Elsevier.
    8. Mototsugu Shintani & Zi-Yi Guo, 2018. "Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 360-379, April.
    9. Shintani, Mototsugu & Guo, Zi-Yi, 2011. "Finite Sample Performance of Principal Components Estimators for Dynamic Factor Models: Asymptotic vs. Bootstrap Approximations," EconStor Preprints 167627, ZBW - German National Library of Economics.
    10. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2017. "Where do jobs go when oil prices drop?," Energy Economics, Elsevier, vol. 64(C), pages 469-482.

  9. Rasmus Fatum & Yohei Yamamoto, 2012. "Does foreign exchange intervention volume matter?," Globalization and Monetary Policy Institute Working Paper 115, Federal Reserve Bank of Dallas.

    Cited by:

    1. Michal Skorepa & Mojmír Hampl, 2014. "Evolution of the Czech National Bank's holdings of foreign exchange reserves," BIS Papers chapters,in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 159-169 Bank for International Settlements.

  10. Pierre Perron & Yohei Yamamoto, 2011. "A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS," Boston University - Department of Economics - Working Papers Series WP2011-054, Boston University - Department of Economics.

    Cited by:

    1. Alessandro Casini & Pierre Perron, "undated". "Generalized Laplace Inference in Multiple Change-Points Models," Boston University - Department of Economics - Working Papers Series WP2018-012, Boston University - Department of Economics.
    2. Tatsushi Oka & Pierre Perron, 2016. "Testing for Common Breaks in a Multiple Equations System," Papers 1606.00092, arXiv.org, revised Jan 2018.
    3. Seong Yeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series wp2015-010, Boston University - Department of Economics, revised 11 Oct 2015.
    4. Seongyeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series 2013-023, Boston University - Department of Economics.
    5. KUROZUMI, Eiji & YAMAMOTO, Yohei, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.
    6. Chen, Bin, 2015. "Modeling and testing smooth structural changes with endogenous regressors," Journal of Econometrics, Elsevier, vol. 185(1), pages 196-215.
    7. Alessandro Casini & Pierre Perron, 2018. "Continuous Record Asymptotics for Structural Change Models," Papers 1803.10881, arXiv.org.
    8. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    9. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
    10. Yu, Ping, 2013. "Inconsistency of 2SLS estimators in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 120(3), pages 532-536.
    11. Qian, Junhui & Su, Liangjun, 2014. "Structural change estimation in time series regressions with endogenous variables," Economics Letters, Elsevier, vol. 125(3), pages 415-421.
    12. Yu, Ping & Phillips, Peter C.B., 2018. "Threshold regression with endogeneity," Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.

  11. Pierre Perron & Yohei Yamamoto, 2011. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Boston University - Department of Economics - Working Papers Series WP2011-049, Boston University - Department of Economics.

    Cited by:

    1. Seong Yeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series wp2015-010, Boston University - Department of Economics, revised 11 Oct 2015.
    2. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, Open Access Journal, vol. 6(1), pages 1-21, March.
    3. Seongyeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series 2013-023, Boston University - Department of Economics.
    4. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    5. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    6. Balakrishnan, Pulapre & Das, Mausumi & Parameswaran, M., 2017. "The internal dynamic of Indian economic growth," Journal of Asian Economics, Elsevier, vol. 50(C), pages 46-61.

  12. Pierre Perron & Yohei Yamamoto, 2011. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series WP2011-053, Boston University - Department of Economics.

    Cited by:

    1. Yu, Ping, 2015. "Consistency of the least squares estimator in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 131(C), pages 41-46.
    2. Tatsushi Oka & Pierre Perron, 2016. "Testing for Common Breaks in a Multiple Equations System," Papers 1606.00092, arXiv.org, revised Jan 2018.
    3. Rasmus Fatum & Yohei Yamamoto, 2012. "Does Foreign Exchange Intervention Volume Matter?," EPRU Working Paper Series 2012-03, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    4. Pulapre Balakrishnan & Mausumi Das & M. Parameswaran, 2015. "The Mechanism of Long-Term Growth in India," Working Papers id:6414, eSocialSciences.
    5. Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
    6. Alessandro Casini & Pierre Perron, 2018. "Continuous Record Asymptotics for Structural Change Models," Papers 1803.10881, arXiv.org.
    7. Yohei Yamamoto & Pierre Perron, 2013. "Estimating and testing multiple structural changes in linear models using band spectral regressions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.
    8. Michael D. Bordo & Pierre Siklos, 2017. "Central Banks: Evolution and Innovation in Historical Perspective," Economics Working Papers 17105, Hoover Institution, Stanford University.
    9. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    10. Duo Qin & Sophie van H¸llen & Qing-Chao Wang, 2014. "What Happens to Wage Elasticities When We Strip Playometrics? Revisiting Married Women Labour Supply Model," Working Papers 190, Department of Economics, SOAS, University of London, UK.
    11. KUROZUMI, Eiji, 2016. "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers 2016-01, Graduate School of Economics, Hitotsubashi University.
    12. Ye Li & Pierre Perron, 2012. "Inference on Locally Ordered Breaks in Multiple Regressions," Boston University - Department of Economics - Working Papers Series wp2015-013, Boston University - Department of Economics, revised 02 Feb 2015.
    13. Pierre Perron & Eduardo Zorita & Eiji Kurozumi, 2017. "Monitoring Parameter Constancy with Endogenous Regressors," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 791-805, September.
    14. Pulapre Balakrishnan & Mausumi Das & M Parameswaran, 2014. "The Internal Dynamic Of Indian Economic Growth," Working papers 239, Centre for Development Economics, Delhi School of Economics.
    15. Yu, Ping & Phillips, Peter C.B., 2018. "Threshold regression with endogeneity," Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.
    16. Duo Qin & Sophie van Huellen & Qing-Chao Wang, 2015. "How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-31, December.

  13. Pierre Perron & Yohei Yamamoto, 2008. "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series wp2008-017, Boston University - Department of Economics.

    Cited by:

    1. Pierre Perron & Yohei Yamamoto, 2015. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January.
    2. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
    3. Walter Bazan-Palomino & Gabriel Rodriguez, 2014. " The New Keynesian Framework for a Small Open Economy with Structural Breaks: Empirical Evidence from Peru," Documentos de Trabajo / Working Papers 2014-384, Departamento de Economía - Pontificia Universidad Católica del Perú.
    4. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin 944, DIW Berlin, German Institute for Economic Research.
    5. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 147(1), pages 11-40, April.
    6. Pierre Perron & Jing Zhou, 2008. "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Boston University - Department of Economics - Working Papers Series wp2008-011, Boston University - Department of Economics.

  14. Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.

    Cited by:

    1. Yamamoto, Yohei, 2014. "A Modified Confidence Set for the Structural Break Date in Linear Regression Models," Discussion Papers 2014-08, Graduate School of Economics, Hitotsubashi University.
    2. Tatsushi Oka & Pierre Perron, 2016. "Testing for Common Breaks in a Multiple Equations System," Papers 1606.00092, arXiv.org, revised Jan 2018.
    3. Seong Yeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series wp2015-010, Boston University - Department of Economics, revised 11 Oct 2015.
    4. Seongyeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series 2013-023, Boston University - Department of Economics.
    5. YAMAZAKI, Daisuke & KUROZUMI, Eiji, 2014. "Improving the Finite Sample Performance of Tests for a Shift in Mean," Discussion Papers 2014-16, Graduate School of Economics, Hitotsubashi University.
    6. HORIE, Tetsushi & YAMAMOTO, Yohei, 2016. "Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets," Discussion Papers 2016-04, Graduate School of Economics, Hitotsubashi University.
    7. Yamamoto, Yohei & Tanaka, Shinya, 2015. "Testing for factor loading structural change under common breaks," Journal of Econometrics, Elsevier, vol. 189(1), pages 187-206.
    8. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    9. PERRON, Pierre & YAMAMOTO, Yohei, 2018. "Testing for Changes in Forecasting Performance," Discussion Papers 2018-03, Graduate School of Economics, Hitotsubashi University.

Articles

  1. Fatum, Rasmus & Yamamoto, Yohei & Zhu, Guozhong, 2017. "Is the Renminbi a safe haven?," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 189-202.
    See citations under working paper version above.
  2. Yohei Yamamoto, 2016. "Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 81-106, January.
    See citations under working paper version above.
  3. Fatum, Rasmus & Yamamoto, Yohei, 2016. "Intra-safe haven currency behavior during the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 49-64.

    Cited by:

    1. Fatum, Rasmus & Yamamoto, Yohei & Zhu, Guozhong, 2017. "Is the Renminbi a safe haven?," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 189-202.
    2. Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2017. "The RMB Central Parity Formation Mechanism after August 2015: A Statistical Analysis," Working Papers 062017, Hong Kong Institute for Monetary Research.
    3. Tachibana, Minoru, 2018. "Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach," Global Finance Journal, Elsevier, vol. 35(C), pages 82-96.
    4. Harris, Richard D.F. & Shen, Jian, 2017. "The intrinsic value of gold: An exchange rate-free price index," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 203-217.
    5. Linda S. Goldberg & Signe Krogstrup, 2018. "International Capital Flow Pressures," IMF Working Papers 18/30, International Monetary Fund.
    6. Rasmus Fatum & Yohei Yamamoto & Guozhong Zhu, "undated". "Is the Renminbi a Safe Haven?," Working Papers e109, Tokyo Center for Economic Research.
    7. HORIE, Tetsushi & YAMAMOTO, Yohei, 2016. "Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets," Discussion Papers 2016-04, Graduate School of Economics, Hitotsubashi University.
    8. Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2017. "The Renminbi central parity : An empirical investigation," BOFIT Discussion Papers 7/2017, Bank of Finland, Institute for Economies in Transition.
    9. Baumohl, Eduard, 2018. "Are cryptocurrencies connected to forex? A quantile cross-spectral approach," EconStor Preprints 174884, ZBW - German National Library of Economics.
    10. Adnen Ben Nasr & Matteo Bonato & Riza Demirer & Rangan Gupta, 2018. "Investor Sentiment and Crash Risk in Safe Havens," Working Papers 201804, University of Pretoria, Department of Economics.
    11. MASUJIMA Yuki, 2017. "Safe Haven Currency and Market Uncertainty: Yen, renminbi, dollar, and alternatives," Discussion papers 17048, Research Institute of Economy, Trade and Industry (RIETI).
    12. Ben Omrane, Walid & Savaşer, Tanseli, 2017. "Exchange rate volatility response to macroeconomic news during the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 130-143.

  4. Pierre Perron & Yohei Yamamoto, 2016. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
    See citations under working paper version above.
  5. Eiji Kurozumi & Yohei Yamamoto, 2015. "Confidence sets for the break date based on optimal tests," Econometrics Journal, Royal Economic Society, vol. 18(3), pages 412-435, October.
    See citations under working paper version above.
  6. Yamamoto, Yohei & Tanaka, Shinya, 2015. "Testing for factor loading structural change under common breaks," Journal of Econometrics, Elsevier, vol. 189(1), pages 187-206.
    See citations under working paper version above.
  7. Pierre Perron & Yohei Yamamoto, 2015. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January. See citations under working paper version above.
  8. Fatum, Rasmus & Yamamoto, Yohei, 2014. "Large versus small foreign exchange interventions," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 114-123.

    Cited by:

    1. Fratzscher, Marcel & Gloede, Oliver & Menkhoff, Lukas & Sarno, Lucio & St�hr, Tobias, 2017. "When is foreign exchange intervention effective? Evidence from 33 countries," CEPR Discussion Papers 12510, C.E.P.R. Discussion Papers.
    2. Steiner, Andreas, 2017. "Central banks and macroeconomic policy choices: Relaxing the trilemma," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 283-299.
    3. Kitamura, Yoshihiro, 2017. "A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 32-46.
    4. Joscha Beckmann & Michael Kühl, 2017. "The Role for Long-run Target Values of the Exchange Rate in the Bank of Japan's Policy Reaction Function," The World Economy, Wiley Blackwell, vol. 40(9), pages 1836-1865, September.

  9. Perron, Pierre & Yamamoto, Yohei, 2014. "A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls," Econometric Theory, Cambridge University Press, vol. 30(02), pages 491-507, April. See citations under working paper version above.
  10. Yohei Yamamoto & Pierre Perron, 2013. "Estimating and testing multiple structural changes in linear models using band spectral regressions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.
    See citations under working paper version above.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (10) 2009-06-10 2009-06-10 2013-03-16 2013-04-06 2013-12-29 2014-06-14 2015-02-05 2015-07-11 2016-06-18 2016-07-02. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2009-06-10 2009-06-10 2013-04-06 2014-06-14 2015-02-05 2015-12-20 2016-06-18. Author is listed
  3. NEP-MON: Monetary Economics (5) 2012-06-13 2012-07-14 2013-03-16 2017-02-05 2017-03-12. Author is listed
  4. NEP-ORE: Operations Research (4) 2015-02-05 2015-07-11 2015-12-20 2016-06-18
  5. NEP-IFN: International Finance (3) 2012-06-13 2012-07-14 2016-07-02
  6. NEP-MAC: Macroeconomics (2) 2012-07-14 2013-04-06
  7. NEP-FOR: Forecasting (1) 2013-04-06
  8. NEP-MST: Market Microstructure (1) 2017-03-12

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