Katayama Naoya 片山直也

… Alternative Names

片山直也カタヤマナオヤ

KATAYAMA Naoya 片山直也

Less

Researcher Number	80452720
Other IDs
Affiliation (Current)	2022: 関西大学, 経済学部, 教授
Affiliation (based on the past Project Information) *help	2020 – 2021: 関西大学, 経済学部, 教授 2014 – 2018: 関西大学, 経済学部, 教授 2010 – 2013: 関西大学, 経済学部, 准教授 2007 – 2009: Kyushu University, 経済学研究院, 准教授 2008: Kyushu University, 大学院・経済学研究院, 准教授
Review Section/Research Field	Principal Investigator Economic statistics / Basic Section 07030:Economic statistics-related Except Principal Investigator Economic statistics
Keywords	Principal Investigator 合理的バブル / 時系列解析 / 構造変化 / ロバストネス / 単位根検定 / 自己回帰モデル / 非定常 / 単位根モデル / M検定 / 分散不均一 … More / ラグランジマルチプライヤー検定 / かばん検定 / OIR検定 / Hausmanの検定 / M 検定 / Weak VAR model / Portmanteau test / Residual autocorrelation / Goodness-of-fit test / Diagnostic checking / ADF検定 / 予測 / カバン検定 / SVARモデル / 外れ値 / 仮説検定 / ロバスト / 共和分検定 / 多変量時系列モデル / 波及経路 … More Except Principal Investigator 経済時系列分析 / 非定常時系列 / 高頻度データ / GARCHモデル / ジャンプ過程 / Nonstandard time series / GARCH error / Error correction model / High frequency data / Structural change / Bootstrap method / Realized volatility / Long memory / 誤差修正モデル / 構造変化の検定 / ブートストラップ法 / 長期記憶系列 / 誤差修正モデル「国際研究者交流」 / 一般化最小２乗法 / 証券市場のバブル　「国際研究者交流」 / 時系列の構造変化 / 多変量GARCH Model / Error Correction Model / Jump過程 / ファイナンス時系列 / 一般化最小2乗法 / 最尤推定法 / 独立成分分析 / 因果序列 / 非正規性 / 構造変化 / ボラティリティ / バブル / 独立成分分析（ICA） / 為替変動 / 金融緩和政策効果 / 構造変化点の信頼区間 / Bootstrap法 / 株価のバブルモデル / 緩やかな発散過程 / 金融の量的緩和政策効果 / 変数間の因果序列 Less

時系列解析による合理的バブルの発生と崩壊現象の推測、並びに波及経路の解明Principal Investigator
- Principal Investigator
  
  片山直也
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Kansai University
Construction and application of robust M test under non-regularity conditionsPrincipal Investigator
- Principal Investigator
  
  Katayama Naoya
- Project Period (FY)
  2014 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Kansai University
Monitaring of parameter chamge in economic time series model
- Principal Investigator
  
  MAEKAWA Koichi
- Project Period (FY)
  2014 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Hiroshima University of Economics
Statistical inference for extended models in financial time series
- Principal Investigator
  
  MAEKAWA Koichi
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  Hiroshima University of Economics
Verification of the rational bubbles by time series analysisPrincipal Investigator
- Principal Investigator
  
  KATAYAMA Naoya
- Project Period (FY)
  2009 – 2012
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Kansai University
  Kyushu University
Testing for the rational bubble in time series analysisPrincipal Investigator
- Principal Investigator
  
  KATAYAMA Naoya
- Project Period (FY)
  2007 – 2008
- Research Category
  
  Grant-in-Aid for Young Scientists (Start-up)
- Research Field
  
  Economic statistics
- Research Institution
  Kyushu University

All 2022 2021 2018 2017 2016 2015 2014 2012 2011 2010 2009 2008 2007 Other

All Journal Article Presentation Book

[Book] The portmanteau tests and the LM test for ARMA models with uncorrelated errors2016
- Author(s)
  Naoya Katayama
- Total Pages
  20
- Publisher
  Springer
- Data Source
  KAKENHI-PROJECT-26380278
[Book] The portmanteau tests and the LM test for ARMA models with uncorrelated errors. Advances in Time Series Methods and Applications: the A. Ian McLeod Festschrift. Editors: W. K. Li, David Stanford and Hao Yu,2016
- Author(s)
  Naoya Katayama
- Total Pages
  20
- Publisher
  Fields Institute Communication. Series, Springer
- Data Source
  KAKENHI-PROJECT-26380279
[Book] 「かばん検定の新展開」in「金融時系列分析の理論と応用」(前川功一,得津康義編著)2012
- Author(s)
  片山直也
- Publisher
  広島経済大学研究双書第39冊
- Data Source
  KAKENHI-PROJECT-21730175
[Book] 実例とEXCELによる統計学トレーニング2009
- Author(s)
  片山直也
- Total Pages
  256
- Publisher
  牧野書店
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] コンビニレジの混雑の要因とコロナ禍・レジ袋有料化・電子決済の影響の分析2021
- Author(s)
  李佳穎、片山直也
- Journal Title
  
  関西大学経済学会 Working Paper Series(和文)J 56
  
  Volume: J 56 Pages: 1-33
- Data Source
  KAKENHI-PROJECT-20K01600
[Journal Article] かばん検定の新展開2012
- Author(s)
  片山直也
- Journal Title
  
  広島経済大学研究双書
  
  Volume: 39冊 Pages: 163-173
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] Chi-Squared Portmanteau Tests for structural VARMA models with uncorrelated errors2012
- Author(s)
  Naoya Katayama
- Journal Title
  
  Woking Paper Series F-54, Economic Society of Kansai University
  
  Volume: F-54 Pages: 1-27
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] Chi-Squared Portmanteau Tests for structural VARMA models with uncorrelated errors2012
- Author(s)
  Naoya Katayama
- Journal Title
  
  Journal of Time Series Analysis
  
  Volume: 33 Pages: 863-872
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] Robust M Tests Using Projection Matrices2012
- Author(s)
  Naoya Katayama
- Journal Title
  
  Woking Paper Series F-56, Economic Society of Kansai University
  
  Volume: F-56 Pages: 1-18
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] Chi-Squared Portmanteau Tests for structural VARMA models with uncorrelated errors2012
- Author(s)
  Naoya Katayama
- Journal Title
  
  Journal of time Series Analysis
  
  Volume: Vol.33, No.6 Pages: 863-872
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors2012
- Author(s)
  Naoya Katayama
- Journal Title
  
  Journal of Time Series Analysis
  
  Volume: 33 Pages: 863-872
- DOI
  10.1111/j.1467-9892.2012.00799.x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] Chi-squared portmanteau tests for weak vector autoregressive models2011
- Author(s)
  Naoya Katayama
- Journal Title
  
  Economic Society of Kansai University Working Paper Series.
  
  Volume: F47. Pages: 1-23
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] On Multiple Portmanteau Tests2009
- Author(s)
  Naoya Katayama
- Journal Title
  
  Journal of Time Series Analysis 30(5)
  
  Pages: 487-504
- NAID
  40016109143
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] 合理的バブルの検定の検出力について2009
- Author(s)
  片山直也
- Journal Title
  
  Discussion Paper Series, 2009-7, Faculty of Economics, Kyushu University 2009-7
  
  Pages: 1-38
- NAID
  40016782880
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] Simulation Studies of Multiple Portmanteau Tests2009
- Author(s)
  Naoya Katayama
- Journal Title
  
  Discussion Paper Series, 2009-4, Faculty of Economics, Kyushu University 2009-4
  
  Pages: 1-57
- NAID
  40016662122
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] On Multiple Portmanteau Tests2009
- Author(s)
  Naoya Katayama
- Journal Title
  
  Journal of Time Series Analysis
  
  Volume: 30(5) Pages: 487-504
- NAID
  40016109143
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730175
[Journal Article] An Improvement of the Portmanteau Statistic2008
- Author(s)
  Naoya Katayama
- Journal Title
  
  Journal of Time Series Analysis 29(2)
  
  Pages: 359-370
- Data Source
  KAKENHI-PROJECT-19830044
[Journal Article] Asymptotic Prediction of Mean Squared Error for Long-Memory Processes with Estimated Parameters2008
- Author(s)
  Naoya Katayama
- Journal Title
  
  Journal of Forecasting 27(8)
  
  Pages: 690-720
- Data Source
  KAKENHI-PROJECT-19830044
[Journal Article] Seasonally and Fractionally Differenced Time Series2007
- Author(s)
  Naoya Katayama
- Journal Title
  
  Hitotsubashi Journal of Economics 48, No.1
  
  Pages: 25-55
- NAID
  110007629902
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19830044
[Journal Article] Seasonally and Fractionally Differenced Time Series2007
- Author(s)
  Naoya Katayama
- Journal Title
  
  Hitotsubashi Journal of Economics Vol.48, No.1
  
  Pages: 25-55
- NAID
  110007629902
- Data Source
  KAKENHI-PROJECT-19830044
[Journal Article] On Multiple Portmanteau Tests
- Author(s)
  Naoya Katayama
- Journal Title
  
  Journal of Time Series Analysis (掲載決定)
- NAID
  40016109143
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] Estimation of Co-integration Regression in Explosive Processes2022
- Author(s)
  片山直也
- Organizer
  関西計量経済学研究会
- Data Source
  KAKENHI-PROJECT-20K01600
[Presentation] A Model of Rational Bubbles with Additive Outliers.2018
- Author(s)
  Naoya Katayama
- Organizer
  Kagawa International Symposium
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380278
[Presentation] A Model of Rational Bubbles with Additive Outliers.2017
- Author(s)
  Naoya Katayama
- Organizer
  CSA-KSS-JSS國際統計學術研討會
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380278
[Presentation] Testing for Bubbles by an Outlier Robust Unit Root Test2017
- Author(s)
  片山直也
- Organizer
  関西計量経済学研究会
- Place of Presentation
  広島大学（広島県）
- Data Source
  KAKENHI-PROJECT-26380278
[Presentation] Testing for Bubbles by an Outlier Robust Unit Root Test2017
- Author(s)
  片山直也
- Organizer
  関西計量経済学研究会
- Place of Presentation
  広島大学（広島県広島市）
- Year and Date
  2017-01-07
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380279
[Presentation] Comments on A Top-Down Method for Rational Bubbles: Application of the Threshold Bounds Testing Approach2016
- Author(s)
  Naoya Katayama
- Organizer
  日本ファイナンス学会第24回大会
- Place of Presentation
  横浜国立大学（神奈川県）
- Data Source
  KAKENHI-PROJECT-26380278
[Presentation] Identification and Goodness of Fit Tests for SVAR Models with Application to the Effects of the Quantitative Easing Policy by the Bank of Japan2015
- Author(s)
  Naoya Katayama
- Organizer
  XXIV International Rome Conference on Money, Banking and Finance
- Place of Presentation
  LUMSA (Italy)
- Year and Date
  2015-12-03
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380278
[Presentation] Comments on Insight from a Bayesian VAR model with drifting parameters of the French housing and credit markets2015
- Author(s)
  Naoya Katayama
- Organizer
  XXIV International Rome Conference on Money, Banking and Finance
- Place of Presentation
  LUMSA (Italy)
- Year and Date
  2015-12-03
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380278
[Presentation] Identification and Goodness of Fit Tests for SVAR Models with Application to the Effects of the Quantitative Easing Policy by the Bank of Japan2015
- Author(s)
  Naoya Katayama
- Organizer
  International Rome Conference on Money, Banking and Finance
- Place of Presentation
  Rome
- Year and Date
  2015-12-01
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380279
[Presentation] The portmanteau tests and the LM test for ARMA models with uncorrelated errors2014
- Author(s)
  Naoya Katayama
- Organizer
  2014 Hitotsubashi-Sogang Conference on Econometrics
- Place of Presentation
  Sogang University, Seoul（韓国）
- Year and Date
  2014-12-13
- Data Source
  KAKENHI-PROJECT-26380278
[Presentation] A self normalization based change point test2014
- Author(s)
  片山直也
- Organizer
  ファイナンス時系列研究会
- Place of Presentation
  広島経済大学
- Data Source
  KAKENHI-PROJECT-23330075
[Presentation] Proposal of Two Robust M tests2012
- Author(s)
  Naoya Katayama
- Organizer
  2012 (EC)2 Conference
- Place of Presentation
  Maastrict University（The Netherlands）
- Data Source
  KAKENHI-PROJECT-21730175
[Presentation] Proposal of Two Robust M tests2012
- Author(s)
  Naoya Katayama
- Organizer
  2012 (EC)2 Conference
- Place of Presentation
  オランダマーストリヒト大学
- Year and Date
  2012-12-14
- Data Source
  KAKENHI-PROJECT-21730175
[Presentation] Modeling Explosive Autoregressive Time Series Under Weak Dependence2010
- Author(s)
  Naoya Katayama
- Organizer
  関西計量経済学研究会2009年度研究発表会
- Place of Presentation
  大阪大学
- Year and Date
  2010-01-09
- Data Source
  KAKENHI-PROJECT-21730175
[Presentation] 無相関の誤差項を持つVARモデルのかばん検定統計量の改良2010
- Author(s)
  片山直也
- Organizer
  日本統計学会
- Place of Presentation
  早稲田大学
- Year and Date
  2010-09-06
- Data Source
  KAKENHI-PROJECT-21730175
[Presentation] 無相関の誤差項を持つVARモデルのかばん検定統計量の改良2010
- Author(s)
  Naoya Katayama
- Organizer
  統計関連学会連合大会(日本統計学会 2010年度第78回大会)
- Place of Presentation
  早稲田大学
- Year and Date
  2010-09-06
- Data Source
  KAKENHI-PROJECT-21730175
[Presentation] Chi-Squared Portmanteau Statistics for Vector Autoregressive Models with Uncorrelated Errors2010
- Author(s)
  Naoya Katayama
- Organizer
  Hitotsubashi Conference on Econometrics 2010
- Place of Presentation
  一橋大学
- Year and Date
  2010-11-21
- Data Source
  KAKENHI-PROJECT-21730175
[Presentation] Chi-squared portmanteau tests for weak vector autoregressive models2010
- Author(s)
  Naoya Katayama
- Organizer
  Hitotsubashi Conference on Econometrics 2010
- Place of Presentation
  Hitotsubashi Univ.
- Year and Date
  2010-11-21
- Data Source
  KAKENHI-PROJECT-21730175
[Presentation] On Multiple Portmanteau Tests2009
- Author(s)
  Naoya Katayama
- Organizer
  International Conference on Econometrics and the World Economy
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] On Multiple Portmanteau Tests2009
- Author(s)
  Naoya Katayama
- Organizer
  International Conference on Econometrics and the World Economy
- Place of Presentation
  福岡大学
- Year and Date
  2009-03-23
- Data Source
  KAKENHI-PROJECT-21730175
[Presentation] On Multiple Portmanteau Tests2009
- Author(s)
  Naoya Katayama
- Organizer
  関西計量経済学研究会2008年度研究発表会
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] モデル選択のための簡単な尤度比検定の提案2008
- Author(s)
  Naoya Katayama
- Organizer
  関西計量経済学研究会2007年度研究発表会
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] Portmanteau Likelihood Ratio Tests for Morel Selection2008
- Author(s)
  Naoya Katayama
- Organizer
  Far Eastern and South Asian Meeting of the Econometric Society)
- Place of Presentation
  Singapole Management university
- Year and Date
  2008-07-17
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] On Multiple Portmanteau Tests2008
- Author(s)
  Naoya Katayama
- Organizer
  統計関連学会連合大会(日本統計学会2008年度第76回大会)
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] Portmanteau Likelihood Ratio Tests for Morel Selection2008
- Author(s)
  Naoya Katayama
- Organizer
  Far Eastern and South Asian Meeting of the Econometric Society
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] かばん検定統計量のバイアスについて2007
- Author(s)
  Naoya Katayama
- Organizer
  統計関連学会連合大会(日本統計学会2007年度第75回大会)
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] かばん検定統計量のバイアスについて2007
- Author(s)
  片山直也
- Organizer
  統計関連学会連合大会(日本統計学会2007年度第75回大会)
- Place of Presentation
  神戸大学
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] On the Bias of the Portmanteau Statistic2007
- Author(s)
  Naoya Katayama
- Organizer
  The Third Symposium on Econometric Theory and Applications(SETA2007)
- Place of Presentation
  香港科技大学
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] Comments on Likelihood Analysis of Weak Exogeneity in I(2)Systems and reduced Econometric Representations by Takamitsu Kurita2007
- Author(s)
  Naoya Katayama
- Organizer
  日本経済学会2007年度秋季大会
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] On the Bias of the Portmanteau Statistic(359-370)2007
- Author(s)
  Naoya Katayama
- Organizer
  The Third Symposium on Econometric Theory and Applications SETA2007. Published in Journal of Time Series Analysis, issue 29 (2)
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] 長期記憶時系列の金融・経済分野への応用2007
- Author(s)
  Naoya Katayama
- Organizer
  第10回情報論的学習理論ワークショップ(IBIS 2007)
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] 長期記憶時系列の金融・経済分野への応用2007
- Author(s)
  片山直也
- Organizer
  第10回情報論的学習理論ワークショップ(IBIS2007)
- Place of Presentation
  東京工業大学
- Data Source
  KAKENHI-PROJECT-19830044
[Presentation] The portmanteau tests and the LM test for ARMA models with uncorrelated errors
- Author(s)
  Naoya Katayama
- Organizer
  Time Series Methods and Applications: the A. Ian McLeod Festschrift Monday, June 2 - Tuesday, June 3, 2014
- Place of Presentation
  University of Western Ontario（カナダ）
- Year and Date
  2014-06-03 – 2014-06-04
- Invited
- Data Source
  KAKENHI-PROJECT-26380278

1. MAEKAWA Koichi (20033748)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
2. TOKUTSU Yasuyoshi (30412282)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
3. KAWAI Ken-ichi (50425831)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. MORIMOTO Tkayuki (80402543)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. NAGATA Shuichi (50546893)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. 久松博之 (90228726)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. LEE Sangyeol

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. Kusdhianto Setiawan

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. Amirullah Setya Hardi

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. Alessio Moneta

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Katayama Naoya 片山 直也

片山 直也 カタヤマ ナオヤ

KATAYAMA Naoya 片山 直也

Research Projects

Research Products

Co-Researchers

時系列解析による合理的バブルの発生と崩壊現象の推測、並びに波及経路の解明Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Construction and application of robust M test under non-regularity conditionsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Monitaring of parameter chamge in economic time series model

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Statistical inference for extended models in financial time series

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Verification of the rational bubbles by time series analysisPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Testing for the rational bubble in time series analysisPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] The portmanteau tests and the LM test for ARMA models with uncorrelated errors2016

Author(s)

Total Pages

Publisher

Data Source

[Book] The portmanteau tests and the LM test for ARMA models with uncorrelated errors. Advances in Time Series Methods and Applications: the A. Ian McLeod Festschrift. Editors: W. K. Li, David Stanford and Hao Yu,2016

Author(s)

Total Pages

Publisher

Data Source

[Book] 「かばん検定の新展開」in「金融時系列分析の理論と応用」(前川功一,得津康義編著)2012

Author(s)

Publisher

Data Source

[Book] 実例とEXCELによる統計学トレーニング2009

Author(s)

Total Pages

Publisher

Data Source

[Journal Article] コンビニレジの混雑の要因とコロナ禍・レジ袋有料化・電子決済の影響の分析2021

Author(s)

Journal Title

Data Source

[Journal Article] かばん検定の新展開2012

Author(s)

Journal Title

Data Source

[Journal Article] Chi-Squared Portmanteau Tests for structural VARMA models with uncorrelated errors2012

Author(s)

Journal Title

Data Source

[Journal Article] Chi-Squared Portmanteau Tests for structural VARMA models with uncorrelated errors2012

Author(s)

Journal Title

Data Source

[Journal Article] Robust M Tests Using Projection Matrices2012

Author(s)

Journal Title

Katayama Naoya 片山直也

片山直也カタヤマナオヤ

KATAYAMA Naoya 片山直也