YAMAMOTO Yohei 山本庸平

Researcher Number	80633916
Other IDs
Affiliation (Current)	2021: 一橋大学, 大学院経済学研究科, 教授
Affiliation (based on the past Project Information) *help	2017 – 2020: 一橋大学, 大学院経済学研究科, 教授 2014 – 2016: 一橋大学, 大学院経済学研究科, 准教授 2013 – 2016: 一橋大学, 経済学研究科(研究院), 准教授 2012 – 2013: 一橋大学, 大学院経済学研究科, 講師
Review Section/Research Field	Principal Investigator Economic statistics / Economic policy / Basic Section 07030:Economic statistics-related Except Principal Investigator Economic statistics / Public finance/Public economy / Economic policy / Medium-sized Section 7:Economics, business administration, and related fields
Keywords	Principal Investigator 構造変化 / 経済予測 / 尤度比検定 / 将来予測 / 構造VAR / 投機的バブル / 主成分分析 / 動学的因子モデル / 疑似外挿期間 / 分散の構造変化 … More Except Principal Investigator 計量経済学 / 高頻度データ / 構造変化 / 金融工学 / 統合的リスク管理 / 計量的リスク管理 / コピュラ / ビッグデータ / 総合的リスク管理(ERM) / 統合的リスク管理（ERM） / 統合リスク管理 / フラクショナル・ブラウン運動 / ﾌﾗｸｼｮﾅﾙ・ﾌﾞﾗｳﾝ運動 / 時系列 / 倒産確率 / 財政競争理論 / 動学的共通因子分析 / VECMモデル / 震災 / 政策決定のタイミング / 従価税・従量税 / 税競争 / 税制度の選択 / 外的ショック / 空間計量経済分析 / 時系列計量 / 地域財政 / 地域金融 / VECM / 動学的因子分析 / 市場統合 / 財政競争 / 地域政府 / グローバル化 / 経済ショック / 財政調整 / 政策協調 / 経済統計学 / パネルデータ / 共和分 / ジャンプ / 動学パネル / GMM / マクロ計量分析 / 経済予測 / 金融政策 / 財政政策 / VAR / DSGE / 資産価格の高頻度データ / マクロ経済学 / ボラティリティ / マクロ経済 / 早期警戒指標 / 金融・財政政策 Less

Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency dataOngoing
- Principal Investigator
  
  渡部敏明
- Project Period (FY)
  2020 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Hitotsubashi University
動学的因子モデルにおける構造変化分析手法の開発と応用Principal InvestigatorOngoing
- Principal Investigator
  
  山本庸平
- Project Period (FY)
  2019 – 2021
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Hitotsubashi University
Building New Macroeconometric Models with Applications to Economic Forecasting Using Big DataOngoing
- Principal Investigator
  
  渡部敏明
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic policy
- Research Institution
  Hitotsubashi University
Enhancing the empirical applicability of structural change analysis in economic research(Fostering Joint International Research)Principal Investigator
- Principal Investigator
  
  Yamamoto Yohei
- Project Period (FY)
  2016 – 2018
- Research Category
  
  Fund for the Promotion of Joint International Research (Fostering Joint International Research)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Developing dynamic factor models for economic policy effect and risk assessmentsPrincipal Investigator
- Principal Investigator
  
  Yamamoto Yohei
- Project Period (FY)
  2016 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Globalization and Regional Policy Response: Theory and Evidence
- Principal Investigator
  
  OGAWA Hikaru
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Public finance/Public economy
- Research Institution
  The University of Tokyo
  Nagoya University
Development of Statistical Methods for Large Panel Data Models and Their Applications
- Principal Investigator
  
  KUROZUMI Eiji
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Enhancing the empirical applicability of structural change analysis in economic researchPrincipal Investigator
- Principal Investigator
  
  YAMAMOTO Yohei
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
  Economic policy
- Research Institution
  Hitotsubashi University
Financial Engineering to ERM: Theoretical and Empirical Investigation
- Principal Investigator
  
  SHIBA Tsunemasa
- Project Period (FY)
  2012 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University

All 2019 2018 2017 2016 2015 2014 2013 Other

All Journal Article Presentation

[Journal Article] Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model2019
- Author(s)
  Pierre Perron, Yohei Yamamoto
- Journal Title
  
  Graduate School of Economics, Hitotsubashi University Discussion Paper
  
  Volume: 1 Pages: 1-12
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15KK0111
[Journal Article] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2019
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Journal of Applied Econometrics
  
  Volume: 印刷中 Pages: 247-267
- DOI
  10.1002/jae.2659
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H00985, KAKENHI-PROJECT-16K03593
[Journal Article] Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model2019
- Author(s)
  Pierre Perron and Yohei Yamamoto
- Journal Title
  
  Econometrics
  
  Volume: 7(2)
- DOI
  10.3390/econometrics7020022
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K01586
[Journal Article] Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model2019
- Author(s)
  Pierre Perron, Yohei Yamamoto
- Journal Title
  
  HIAS Discussion Paper
  
  Volume: E-85 Pages: 1-40
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15KK0111
[Journal Article] The Exchange Rate Effects of Macro News after the Global Financial Crisis2019
- Author(s)
  Yin-Wong Cheung, Rasmus Fatum, Yohei Yamamoto
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 印刷中 Pages: 424-443
- DOI
  10.1016/j.jimonfin.2018.03.009
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593, KAKENHI-PROJECT-19K01586
[Journal Article] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  HIAS Discussion Paper
  
  Volume: E-72 Pages: 1-38
- Open Access
- Data Source
  KAKENHI-PROJECT-16K03593
[Journal Article] A Modified Confidence Set for the Structural Break Date in Linear Regression Models2018
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Econometric Reviews
  
  Volume: 印刷中 Pages: 974-999
- DOI
  10.1080/00927872.2016.1178892
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25870235, KAKENHI-PROJECT-25285067, KAKENHI-PROJECT-15KK0111
[Journal Article] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  HIAS Discussion Paper
  
  Volume: E-72 Pages: 1-38
- Open Access
- Data Source
  KAKENHI-PROJECT-15KK0111
[Journal Article] Testing for Changes in Forecasting Performance2018
- Author(s)
  Pierre Perron, Yohei Yamamoto
- Journal Title
  
  Graduate School of Economics, Hitotsubashi University Discussion Paper
  
  Volume: 3 Pages: 1-38
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15KK0111
[Journal Article] The exchange rate effects of macro news after the global financial crisis2017
- Author(s)
  Yin-Wong Cheung, Rasmus Fatum and Yohei Yamamoto
- Journal Title
  
  Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper
  
  Volume: 305 Pages: 1-33
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] Is the Renminbi a safe haven?2017
- Author(s)
  Rasmus Fatum, Yohei Yamamoto, Guozhong Zhu
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 79 Pages: 189-202
- DOI
  10.1016/j.jimonfin.2017.09.010
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593, KAKENHI-PROJECT-17H00985
[Journal Article] Testing for speculative bubbles in large-dimensional financial panel data sets2016
- Author(s)
  Tetsushi Horie and Yohei Yamamoto
- Journal Title
  
  Graduate School of Economics, Hitotsubashi University Discussion Paper
  
  Volume: '2016-04 Pages: 1-51
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests2016
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Econometric Reviews
  
  Volume: 印刷中 Pages: 782-844
- DOI
  10.1080/07474938.2014.977621
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042, KAKENHI-PROJECT-25870235
[Journal Article] Bootstrap inference for impulse response functions in factor-augmented vector autoregressions2016
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  HIAS Discussion Paper
  
  Volume: E-26 Pages: 1-39
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] グローバル・ショックに対する地域経済の反応2016
- Author(s)
  山本庸平
- Journal Title
  
  小川光編『グローバル化とショック波及の経済学』有斐閣（図書所収論文）
  
  Volume: NA Pages: 21-40
- Open Access
- Data Source
  KAKENHI-PROJECT-16K03593
[Journal Article] Is the Renminbi a safe haven?2016
- Author(s)
  Rasmus Fatum, Yohei Yamamoto, and Guozhong Zhu
- Journal Title
  
  Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper
  
  Volume: 276 Pages: 1-33
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] Intra-Safe Haven Currency Behavior during the Global Financial Crisis2016
- Author(s)
  Rasmus Fatum and Yohei Yamamoto
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 印刷中 Pages: 49-64
- DOI
  10.1016/j.jimonfin.2015.12.007
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-25245042, KAKENHI-PROJECT-25870235, KAKENHI-PROJECT-16K03593
[Journal Article] Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors2015
- Author(s)
  Pierre Perron and Yohei Yamamoto
- Journal Title
  
  Journal of Applied Econometrics
  
  Volume: 30 Pages: 119-144
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] Testing for Factor Loading Structural Change under Common Breaks2015
- Author(s)
  Yohei Yamamoto and Shinya Tanaka
- Journal Title
  
  Journal of Econometrics
  
  Volume: 189(1) Pages: 187-206
- DOI
  10.1016/j.jeconom.2015.06.018
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25245042, KAKENHI-PROJECT-25870235, KAKENHI-PROJECT-25285067
[Journal Article] Confidence Sets for the Break Date Based on Optimal Tests2015
- Author(s)
  Eiji Kurozumi and Yohei Yamamoto
- Journal Title
  
  The Econometrics Journal
  
  Volume: 18 Pages: 412-435
- DOI
  10.1111/ectj.12055
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23243038, KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-25245042, KAKENHI-PROJECT-25870235, KAKENHI-PROJECT-25285067
[Journal Article] Confidence Sets for the Break Date Based on Optimal Tests2015
- Author(s)
  Eiji Kurozumi, Yohei Yamamoto
- Journal Title
  
  Graduate School of Economics, Hitotsubashi University Discussion Paper 2015-01
  
  Volume: 01 Pages: 1-13
- Open Access
- Data Source
  KAKENHI-PROJECT-25870235
[Journal Article] Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors2015
- Author(s)
  Pierre Perron and Yohei Yamamoto
- Journal Title
  
  Journal of Applied Econometrics
  
  Volume: 印刷中 Pages: 119-144
- DOI
  10.1002/jae.2320
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-25285067, KAKENHI-PROJECT-25870235
[Journal Article] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series2015
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Journal of Business and Economic Statistics
  
  Volume: 未定 Pages: 81-106
- DOI
  10.1080/07350015.2015.1004071
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25870235, KAKENHI-PROJECT-25245042
[Journal Article] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Graduate School of Economics, Hitotsubashi University Discussion Paper
  
  Volume: 2015-5 Pages: 1-52
- Data Source
  KAKENHI-PROJECT-25870235
[Journal Article] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Graduate School of Economics, Hitotsubashi University Discussion Paper
  
  Volume: 2015-05 Pages: 1-52
- Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series2015
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Journal of Business and Economic Statistics
  
  Volume: 印刷中
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25285067
[Journal Article] A Note on Estimating and Testing for Multiple Structural Changes in Linear Models with Endogenous Regressors via 2SLS2014
- Author(s)
  Pierre Perron, Yohei Yamamoto
- Journal Title
  
  Econometric Theory
  
  Volume: 30 Pages: 491-507
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] Large versus Small Foreign Exchange Interventions2014
- Author(s)
  Rasmus Fatum and Yohei Yamamoto
- Journal Title
  
  Journal of Banking and Finance
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285067
[Journal Article] On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests2014
- Author(s)
  Pierre Perron and Yohei Yamamoto
- Journal Title
  
  Econometric Reviews
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25870235
[Journal Article] A Note on Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors2014
- Author(s)
  Pierre Perron and Yohei Yamamoto
- Journal Title
  
  Econometric Theory
  
  Volume: 30-2 Pages: 491-507
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] A Note on Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors2014
- Author(s)
  Pierre Perron, Yohei Yamamoto
- Journal Title
  
  Econometric Theory
  
  Volume: 30（2） Pages: 491-507
- DOI
  10.1017/s0266466613000388
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-25285067, KAKENHI-PROJECT-25870235
[Journal Article] 日本におけるフィリップス曲線モデルの構造変化と将来予測の安定性について2014
- Author(s)
  山本庸平
- Journal Title
  
  日本統計学会誌
  
  Volume: 44(1) Pages: 75-95
- NAID
  110009864637
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] 日本におけるフィリップス曲線モデルの構造変化と将来予測の安定性について2014
- Author(s)
  山本庸平
- Journal Title
  
  日本統計学会誌
  
  Volume: 44(1) Pages: 75-95
- NAID
  110009864637
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25870235
[Journal Article] On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests2014
- Author(s)
  Pierre Perron, Yohei Yamamoto
- Journal Title
  
  Global Hi-Stat Discussion Paper 257 (Econometric Reviews)
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] Large versus Small Foreign Exchange Interventions2014
- Author(s)
  Rasmus Fatum, Yohei Yamamoto
- Journal Title
  
  Journal of Banking and Finance
  
  Volume: 43 Pages: 114-123
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] A Modified Confidence Set for the Structural Break Date in Linear Regression Models2014
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Graduate School of Economics, Hitotsubashi University Discussion Paper 2014-08
  
  Volume: 08 Pages: 1-24
- Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25870235
[Journal Article] On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests2014
- Author(s)
  Pierre Perron, Yohei Yamamoto
- Journal Title
  
  Econometric Reviews
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285067
[Journal Article] Large versus Small Foreign Exchange Interventions2014
- Author(s)
  Rasmus Fatum, Yohei Yamamoto
- Journal Title
  
  Journal of Banking and Finance
  
  Volume: 43 Pages: 114-123
- DOI
  10.1016/j.jbankfin.2014.03.015
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] 日本におけるフィリップス曲線の構造変化と将来予測の安定性について2014
- Author(s)
  山本庸平
- Journal Title
  
  日本統計学会誌(シリーズJ)
  
  Volume: 44 Pages: 75-95
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285067
[Journal Article] Large versus Small Foreign Exchange Interventions2014
- Author(s)
  Rasmus Fatum and Yohei Yamamoto
- Journal Title
  
  Journal of Banking and Finance
  
  Volume: 43 Pages: 114-123
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25870235
[Journal Article] 日本におけるフィリップス曲線の構造変化と将来予測の安定性について2014
- Author(s)
  山本庸平
- Journal Title
  
  日本統計学会誌
  
  Volume: 44 Pages: 75-95
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions2013
- Author(s)
  Yohei Yamamoto and Pierre Perron
- Journal Title
  
  Econometrics Journal
  
  Volume: 16-3 Pages: 400-429
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25870235
[Journal Article] Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions2013
- Author(s)
  Yohei Yamamoto and Pierre Perron
- Journal Title
  
  Econometrics Journal
  
  Volume: 16 Pages: 400-429
- DOI
  10.1111/ectj.12010
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245042
[Journal Article] Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions2013
- Author(s)
  Yohei Yamamoto and Pierre Perron
- Journal Title
  
  Econometrics Journal
  
  Volume: 16-3 Pages: 400-429
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions2013
- Author(s)
  Yohei Yamamoto and Pierre Perron
- Journal Title
  
  Econometrics Journal
  
  Volume: 16 Pages: 400-429
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285067
[Journal Article] Forecasting with Non-Spurious Factors in U.S. Macroeconomic Time Series2013
- Author(s)
  Yohei Yamamoto
- Journal Title
  
  Global Hi-Stat Discussion Paper 280
  
  Volume: -
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] Testing for Factor Loading Structural Change under Common Breaks2013
- Author(s)
  Yohei Yamamoto and Shinya Tanaka
- Journal Title
  
  Graduate School of Economics Hitotsubashi University Discussion Paper 2013-17
  
  Volume: -
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2019
- Author(s)
  Yohei Yamamoto
- Organizer
  Helsinki Graduate School of Economics Seminar
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K01586
[Presentation] Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets2019
- Author(s)
  Yohei Yamamoto
- Organizer
  15th International Symposium on Econometric Theory and Applications
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K01586
[Presentation] Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model2019
- Author(s)
  Yohei Yamamoto
- Organizer
  National Taipei University Economic Seminar
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K01586
[Presentation] Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model2019
- Author(s)
  Yohei Yamamoto
- Organizer
  NBER-NSF Time Series Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K01586
[Presentation] Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets2019
- Author(s)
  Yohei Yamamoto
- Organizer
  Nanyang Econometrics Workshop
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K01586
[Presentation] Forecasting Japanese Inflation with a News-Based Leading Indicator of Economic Activities2019
- Author(s)
  Mototsugu Shintani, Keiichi Goshima, Hiroshi Ishijima and Hiroki Yamamoto
- Organizer
  27th Symposium of the Society for Nonlinear Dynamics and Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model2019
- Author(s)
  山本庸平
- Organizer
  応用統計計量ワークショップ /　データサイエンスワークショップ
- Invited
- Data Source
  KAKENHI-PROJECT-19K01586
[Presentation] The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence2019
- Author(s)
  山本庸平
- Organizer
  マクロ研究会
- Invited
- Data Source
  KAKENHI-PROJECT-19K01586
[Presentation] Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model2019
- Author(s)
  Yohei Yamamoto
- Organizer
  5th Hitotsubashi Summer Institute
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K01586
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  Econometrics Seminar at Boston University
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  Economics Seminar, McGill University
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15KK0111
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  Econometrics Seminar, Boston University
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15KK0111
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  5th Conference of International Association for Applied Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Identifying Factor-augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  5th International Association for Applied Econometrics (IAAE) Annual Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  12th International Conference on Computational and Financial Econometrics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  Economics Seminar at McGill University
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  Midwest Econometric Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] The Exchange Rate Effects of Macro News after the Global Financial Crisis2018
- Author(s)
  山本庸平
- Organizer
  一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会「高頻度データを用いた資産価格の計量分析」
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  28th Annual Meeting of the Midwest Econometrics Group
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  Midwest Econometric Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15KK0111
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  5th Conference of International Association for Applied Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15KK0111
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] The Exchange Rate Effects of Macro News after the Global Financial Crisis2018
- Author(s)
  Yohei Yamamoto
- Organizer
  一橋大学共同利用・共同研究拠点プロジェクト研究集会, 一橋大学経済研究所（東京都国立市）
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018
- Author(s)
  Yohei Yamamoto
- Organizer
  12th International Conference on Computational and Financial Econometrics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15KK0111
[Presentation] Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets2017
- Author(s)
  Yohei Yamamoto
- Organizer
  Economics Seminar, Academia Sinica, 中央研究院（台湾台北市）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2017
- Author(s)
  Yohei Yamamoto
- Organizer
  4th Conference of International Association for Applied Econometrics, ホテルエミシア札幌（北海道札幌市）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets2017
- Author(s)
  山本庸平
- Organizer
  Workshop on Macroeconomic and Financial Time Series Analysis
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2017
- Author(s)
  山本庸平
- Organizer
  Workshop on Advances in Econometrics 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2017
- Author(s)
  Yohei Yamamoto
- Organizer
  Workshop on Advances in Econometrics 2017, KKRはこだて（北海道函館市）
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2017
- Author(s)
  山本庸平
- Organizer
  4th Conference of International Association for Applied Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets2017
- Author(s)
  Yohei Yamamoto
- Organizer
  Workshop on Macroeconomic and Financial Time Series Analysis, ランカスター大学（英国ランカスター市）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Is the Renminbi a safe haven?2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Twelfth Annual Conference of Asian-Pacific Economic Association
- Place of Presentation
  International Management Institute Kolkata, Kolkata（インド）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Recent Issues in Finance and Macroeconomics
- Place of Presentation
  オーストラリア国立大学（キャンベラ・豪州）
- Year and Date
  2016-03-22
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  25th South Taiwan Statistics Conference
- Place of Presentation
  国立中山大学（台湾・高雄市）
- Year and Date
  2016-06-24
- Invited
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2016
- Author(s)
  Yohei Yamamoto
- Organizer
  The Second Hitotsubashi Summer Institute Workshop
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2016-08-06
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2016
- Author(s)
  Yohei Yamamoto
- Organizer
  The 10th International Conference on Computational and Financial Econometrics
- Place of Presentation
  セビリア大学（スペイン・セビリア市）
- Year and Date
  2016-12-10
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Bootstrap inference for impulse response functions in factor-augmented vector autoregressions2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Hitotsubashi Summer Institute Workshop
- Place of Presentation
  一橋大学（東京都国立市）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  24th Symposium of the Society of Nonlinear Dynamics and Econometrics
- Place of Presentation
  Tuscaloosa (USA)
- Year and Date
  2016-03-10
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Asymptotic inference for common factor models in the presence of jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  33rd Meeting of the Canadian Econometrics Study Group
- Place of Presentation
  ウエスタンオンタリオ大学（カナダ）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Is the Renminbi a Safe Haven?2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Twelfth Annual Conference of Asian-Pacific Economic Association
- Place of Presentation
  International Management Institute Kolkata（インド・コルカタ市）
- Year and Date
  2016-07-14
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  12th International Symposium on Econometric Theory and Applications
- Place of Presentation
  Hamilton (New Zealand)
- Year and Date
  2016-02-18
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Testing for speculative bubbles in large-dimensional financial panel data sets2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Japan-Korea Allied Conference in Econometrics
- Place of Presentation
  一橋大学（東京都国立市）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  The 12th International Symposium on Econometric Theory and Applications
- Place of Presentation
  ニュージーランド、ハミルトン市、ワイカト大学
- Year and Date
  2016-02-18
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Recent Issues in Finance and Macroeconomics
- Place of Presentation
  Canberra (Australia)
- Year and Date
  2016-03-22
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Society for Nonlinear Dynamics and Econometrics 24th Annual Symposium
- Place of Presentation
  米国アラバマ州タスカルーサ市、アラバマ大学
- Year and Date
  2016-03-10
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  The 12th International Symposium on Econometric Theory and Applications
- Place of Presentation
  ワイカト大学（ハミルトン・ニュージーランド）
- Year and Date
  2016-02-18
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Society for Nonlinear Dynamics and Econometrics 24th Annual Symposium
- Place of Presentation
  アラバマ大学（タスカルーサ・米国）
- Year and Date
  2016-03-10
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Recent Issues in Finance and Macroeconomics
- Place of Presentation
  豪州キャンベラ市、オーストラリア国立大学
- Year and Date
  2016-03-22
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Asymptotic Inference for Common Factor Models in the Presence Jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  The 33rd Meeting of the Canadian Econometrics Study Group
- Place of Presentation
  ウエスタンオンタリオ大学（カナダ・ロンドン市）
- Year and Date
  2016-10-16
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets2016
- Author(s)
  Yohei Yamamoto
- Organizer
  Japan-Korea Allied Conference in Econometrics
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2016-11-19
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03593
[Presentation] Asymptotic inference for common factor models in the presence of jumps2016
- Author(s)
  Yohei Yamamoto
- Organizer
  The 25th South Taiwan Statistics Conference
- Place of Presentation
  中山大学, 台北（台湾）
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Bootstrap inference for impulse response functions in factor-augmented vector autoregressions2016
- Author(s)
  Yohei Yamamoto
- Organizer
  10th International Conference on Computational and Financial Econometrics
- Place of Presentation
  セビリア大学, セビリア（スペイン）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  9th International Conference on Computational and Financial Econometrics
- Place of Presentation
  英国、ロンドン市、ロンドン大学
- Year and Date
  2015-12-12
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  Hitotsubashi Summer Institute
- Place of Presentation
  東京都国立市、一橋大学
- Year and Date
  2015-08-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] A Modified Confidence Set for the Structural Break Date in Linear Regression Models2015
- Author(s)
  Yohei Yamamoto
- Organizer
  The 2nd Conference of International Association for Applied Econometrics
- Place of Presentation
  ギリシア、テッサロニキ市
- Year and Date
  2015-06-25
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  9th International Conference on Computational and Financial Econometrics
- Place of Presentation
  ロンドン大学（ロンドン・英国）
- Year and Date
  2015-12-12
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] A Modified Confidence Set for the Structural Break Date in Linear Regression Models2015
- Author(s)
  Yohei Yamamoto
- Organizer
  The 2nd Annual Conference of the International Association for Applied Econometrics
- Place of Presentation
  Thessaloniki (Greece)
- Year and Date
  2015-06-25
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] A Modified Confidence Set for the Structural Break Date in Linear Regression Models2015
- Author(s)
  Yohei Yamamoto
- Organizer
  The 2nd Conference of International Association for Applied Econometrics
- Place of Presentation
  University of Macedonia（テッサロニキ・ギリシア）
- Year and Date
  2015-06-25
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  日本統計学会連合大会国際セッション
- Place of Presentation
  岡山県岡山市、岡山大学
- Year and Date
  2015-09-08
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Intra-Safe Haven Currency Behavior During the Global Financial Crisis2015
- Author(s)
  Yohei Yamamoto
- Organizer
  International Conference on the New Normal in the Post-Crisis Era
- Place of Presentation
  香港九龍(中国)
- Year and Date
  2015-05-22
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regressions2015
- Author(s)
  Yohei Yamamoto
- Organizer
  関西計量経済学会
- Place of Presentation
  大阪大学
- Year and Date
  2015-01-10
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] 日本におけるフィリップス曲線モデルの構造変化と将来予測の安定性について2015
- Author(s)
  山本庸平
- Organizer
  東京大学先端学際工学特別講義
- Place of Presentation
  東京大学先端科学技術研究センター（目黒区、東京都）
- Year and Date
  2015-01-09
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regressions Models2015
- Author(s)
  Yohei Yamamoto
- Organizer
  関西計量経済学会
- Place of Presentation
  大阪大学（大阪府豊中市）
- Year and Date
  2015-01-10
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] 日本におけるフィリップス曲線モデルの構造変化と将来予測の安定性について2015
- Author(s)
  山本庸平
- Organizer
  東京大学先端学際工学特別講義
- Place of Presentation
  東京大学先端科学技術研究センター（東京都目黒区）
- Year and Date
  2015-01-09
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学(岡山県・岡山市)
- Year and Date
  2015-09-08
- Invited
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Intra-Safe Haven Currency Behavior During the Global Financial Crisis2015
- Author(s)
  Rasmus Fatum, Yohei Yamamoto
- Organizer
  International Conference on the New Normal in the Post-Crisis Era
- Place of Presentation
  香港(中国)、香港城市大学
- Year and Date
  2015-05-22
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  日本統計学会連合大会国際セッション
- Place of Presentation
  岡山大学（岡山県・岡山市）
- Year and Date
  2015-09-08
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  The 9th International Conference on Computational and Financial Econometrics
- Place of Presentation
  London (UK)
- Year and Date
  2015-12-12
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] A Modified Confidence Set for the Structural Break Date in Linear Regression Models2015
- Author(s)
  山本庸平
- Organizer
  第22回関西計量経済学研究会
- Place of Presentation
  大阪大学(大阪府・豊中市)
- Year and Date
  2015-01-10
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  山本庸平
- Organizer
  慶應大学計量経済学ワークショップ
- Place of Presentation
  東京都港区、慶應義塾大学三田キャンパス
- Year and Date
  2015-09-29
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regression Models2015
- Author(s)
  山本庸平
- Organizer
  関西計量経済学会
- Place of Presentation
  大阪大学豊中キャンパス（豊中市、大阪府）
- Year and Date
  2015-01-10
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  Hitotsubashi Summer Institute
- Place of Presentation
  一橋大学（東京都・国立市）
- Year and Date
  2015-08-04
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  慶應大学計量経済学ワークショップ
- Place of Presentation
  慶応大学（東京都・港区）
- Year and Date
  2015-09-29
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Asymptotic Inference for Common Factor Models in the Presence of Jumps2015
- Author(s)
  Yohei Yamamoto
- Organizer
  Hitotsubashi Summer Institute
- Place of Presentation
  一橋大学(東京都・国立市)
- Year and Date
  2015-08-04
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regression Models2014
- Author(s)
  山本庸平
- Organizer
  Summer Workshop on Economic Theory
- Place of Presentation
  小樽商科大学（小樽市、北海道）
- Year and Date
  2014-08-08
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  SETA2014
- Place of Presentation
  Academia Sinica(台湾・台北)
- Year and Date
  2014-05-29
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium
- Place of Presentation
  ニューヨーク大学バルーク校（ニューヨーク市、米国）
- Year and Date
  2014-04-17
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Canadian Econometric Study Group Meeting
- Place of Presentation
  サイモンフレーザー大学（カナダ）
- Year and Date
  2014-10-05
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  東京大学応用統計ワークショップ
- Place of Presentation
  東京大学
- Year and Date
  2014-05-02
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Small Versus Large Foreign Exchange Interventions2014
- Author(s)
  山本庸平
- Organizer
  GRIPSセミナー
- Place of Presentation
  GRiPS
- Year and Date
  2014-01-22
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regressions2014
- Author(s)
  山本庸平
- Organizer
  Summer Workshop on Economic Theory (SWET2014)
- Place of Presentation
  小樽商科大学(北海道・小樽市)
- Year and Date
  2014-08-08
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium
- Place of Presentation
  Baruch College CUNY(米国・ニューヨーク)
- Year and Date
  2014-04-17
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium
- Place of Presentation
  ニューヨーク大学バルーク校
- Year and Date
  2014-04-17
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  東京大学応用統計ワークショップ2014
- Place of Presentation
  東京大学(東京都文京区)
- Year and Date
  2014-05-02
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] ファクターモデルの構造変化検定と米国債イールドカーブへの応用2014
- Author(s)
  山本庸平
- Organizer
  日本政策投資銀行応用経済ワークショップ
- Place of Presentation
  日本政策投資銀行設備投資研究所
- Year and Date
  2014-01-30
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  The 10th International Symposium on Econometric Theory and Applications
- Place of Presentation
  中央研究院（台湾）
- Year and Date
  2014-05-29
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] 日本におけるフィリップス曲線の構造変化と将来予測の安定性について2014
- Author(s)
  山本庸平
- Organizer
  東京大学マクロ経済学ワークショップ
- Place of Presentation
  東京大学
- Year and Date
  2014-06-05
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  山本庸平
- Organizer
  東京大学応用統計ワークショップ
- Place of Presentation
  東京大学本郷キャンパス（文京区、東京都）
- Year and Date
  2014-05-02
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  The 10th International Symposium on Econometric Theory and Applications
- Place of Presentation
  中央研究院（台北市、台湾）
- Year and Date
  2014-05-29
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regression Models2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Sogan-Hitotsubashi Conference on Econometrics
- Place of Presentation
  西江大学（ソウル市、韓国）
- Year and Date
  2014-12-13
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] On Structural Change and Forecasting Performance Stability of Japanese Phillips Curve Models2014
- Author(s)
  Yohei Yamamoto
- Organizer
  東京大学マクロ経済学ワークショップ
- Place of Presentation
  東京大学(東京都文京区)
- Year and Date
  2014-06-05
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  31st Meeting of the Canadian Econometric Study Group Meeting
- Place of Presentation
  Simon Fraser Universiy(カナダ・バンクーバー)
- Year and Date
  2014-10-05
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Canadian Econometric Study Group Meeting
- Place of Presentation
  Simon Fraser University（Burnaby, Canada)
- Year and Date
  2014-10-05
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  The 10th International Symposium on Econometric Theory and Applications
- Place of Presentation
  中央研究院（台北市, 台湾）
- Year and Date
  2014-05-29
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regressions2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Sogan-Hitotsubashi Conference on Econometrics
- Place of Presentation
  西江大学（ソウル特別市, 韓国）
- Year and Date
  2014-12-13
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regressions2014
- Author(s)
  山本庸平
- Organizer
  Summer Workshop on Economic Theory
- Place of Presentation
  小樽商科大学
- Year and Date
  2014-08-08
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium
- Place of Presentation
  New York University（New York, US）
- Year and Date
  2014-04-17
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] 日本におけるフィリップス曲線モデルの構造変化と将来予測の安定性について2014
- Author(s)
  山本庸平
- Organizer
  広島経済大学ファイナンス時系列研究会
- Place of Presentation
  広島経済大学
- Year and Date
  2014-03-15
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regressions2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Summer Workshop on Economic Theory
- Place of Presentation
  小樽商科大学（北海道小樽市）
- Year and Date
  2014-08-08
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Canadian Econometric Study Group Meeting
- Place of Presentation
  サイモンフレーザー大学（バンクーバー市、カナダ）
- Year and Date
  2014-10-05
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] A Modified Confidence Set for the Structural Break Date in Linear Regression Models2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Hitotsubashi-Sogang conference on Econometrics
- Place of Presentation
  Sogang University(韓国・ソウル)
- Year and Date
  2014-12-13
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] On Structual Change and Forecasting Performance Stability of Japanese Philips Curve Models2014
- Author(s)
  Yohei Yamamoto
- Organizer
  東京大学マクロ経済学ワークショップ
- Place of Presentation
  東京大学本郷キャンパス（文京区、東京都）
- Year and Date
  2014-06-05
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] A Modified Confidence Set for Structural Break Date in Linear Regressions2014
- Author(s)
  Yohei Yamamoto
- Organizer
  Sogan-Hitotsubashi Conference on Econometrics
- Place of Presentation
  西江大学（韓国）
- Year and Date
  2014-12-13
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] On Power Properties of Factor Loading Structural Change Test under Common Breaks2013
- Author(s)
  山本庸平
- Organizer
  計量経済学セミナー
- Place of Presentation
  京都大学
- Year and Date
  2013-05-29
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Testing for Factor Loading Structural Change under Common Breaks2013
- Author(s)
  山本庸平
- Organizer
  広島大学経済セミナー
- Place of Presentation
  広島大学
- Year and Date
  2013-10-10
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series2013
- Author(s)
  山本庸平
- Organizer
  Econometric Society Australasian Meeting
- Place of Presentation
  シドニー大学
- Year and Date
  2013-07-12
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] On Power Properties of Factor Loading Structural Change Test under Common Breaks2013
- Author(s)
  山本庸平
- Organizer
  統計学関連連合大会
- Place of Presentation
  大阪大学
- Year and Date
  2013-09-10
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] On Power Properties of Factor Loading Structural Change Test under Common Breaks2013
- Author(s)
  山本庸平
- Organizer
  ボストン大学計量経済学セミナー
- Place of Presentation
  米国・ボストン大学
- Year and Date
  2013-09-20
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series2013
- Author(s)
  山本庸平
- Organizer
  日本経済学会春季大会
- Place of Presentation
  富山大学
- Year and Date
  2013-06-22
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series2013
- Author(s)
  山本庸平
- Organizer
  9th International Symposium on Econometric Theory and Applications
- Place of Presentation
  韓国・成均館大学
- Year and Date
  2013-08-03
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series2013
- Author(s)
  山本庸28
- Organizer
  Econometric Society European Meeting
- Place of Presentation
  イエーテボリ大学（スウエーデン）
- Year and Date
  2013-08-28
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series2013
- Author(s)
  山本庸平
- Organizer
  Econometric Society Asian Meeting
- Place of Presentation
  シンガポール
- Year and Date
  2013-08-03
- Data Source
  KAKENHI-PROJECT-25245042
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  山本庸平
- Organizer
  Econometric Society Australasian Meeting
- Place of Presentation
  シドニー大学（オーストラリア）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Small Versus Large Foreign Exchange Interventions
- Author(s)
  山本庸平
- Organizer
  GRIPSセミナー
- Place of Presentation
  政策研究大学院大学（東京都港区）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  山本庸平
- Organizer
  Econometric Society European Meeting
- Place of Presentation
  イエテボリ大学（スウェーデン）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] On Power Properties of Factor Loading Structural Change Test under Common Breaks
- Author(s)
  山本庸平
- Organizer
  日本統計学会連合大会
- Place of Presentation
  大阪大学（豊中市）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  Yohei Yamamoto
- Organizer
  International Symposium on Econometric Theory and Applications
- Place of Presentation
  成均館大学(ソウル，韓国)
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] ファクターモデルの構造変化検定と米国債イールドカーブへの応用
- Author(s)
  山本庸平
- Organizer
  日本政策投資銀行応用経済ワークショップ
- Place of Presentation
  日本政策投資銀行（東京都千代田区）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  山本庸平
- Organizer
  日本経済学会春季大会
- Place of Presentation
  富山大学（富山市）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] On Power Properties of Factor Loading Structural Change Test under Common Breaks
- Author(s)
  山本庸平
- Organizer
  統計学関連連合大会
- Place of Presentation
  大阪大学(大阪府豊中市)
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  山本庸平
- Organizer
  Econometric Society Asian Meeting
- Place of Presentation
  グランドコプソーンウォーターフロントホテル（シンガポール）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] 日本におけるフィリップス曲線の構造変化と将来予測の安定性について
- Author(s)
  山本庸平
- Organizer
  広島経済大学ファイナンス時系列研究会
- Place of Presentation
  広島経済大学（広島市）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  Yohei Yamamoto
- Organizer
  Econometric Society Australasian Meeting
- Place of Presentation
  University of Sydney(シドニー，オーストラリア)
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] On Power Properties of Factor Loading Structural Change Test under Common Breaks
- Author(s)
  山本庸平
- Organizer
  Econometrics Seminar
- Place of Presentation
  ボストン大学（米国）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Testing for Factor Loading Structural Change under Common Breaks
- Author(s)
  山本庸平
- Organizer
  広島大学経済セミナー
- Place of Presentation
  広島大学（東広島市）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] On Power Properties of Factor Loading Structural Change Test under Common Breaks
- Author(s)
  山本庸平
- Organizer
  計量経済学セミナー
- Place of Presentation
  京都大学経済研究所（京都市）
- Data Source
  KAKENHI-PROJECT-25870235
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  Yohei Yamamoto
- Organizer
  マクロ計量国際コンファレンス
- Place of Presentation
  一橋大学
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] 日本におけるフィリップス曲線の構造変化と将来予測の安定性について
- Author(s)
  山本庸平
- Organizer
  広島経済大学ファイナンス時系列研究会
- Place of Presentation
  広島経済大学(広島県広島市)
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  山本庸平
- Organizer
  日本経済学会
- Place of Presentation
  富山大学(富山県富山市)
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  Yohei Yamamoto
- Organizer
  Asian Meeting of Econometric Society
- Place of Presentation
  Grand Copthorne Waterfront Hotel(392 Havelock Road，シンガポール)
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  Yohei Yamamoto
- Organizer
  EEA-ESEM Meeting 2013
- Place of Presentation
  the University of Gothernberg（イェーテボリ，スウェーデン)
- Data Source
  KAKENHI-PROJECT-25285067
[Presentation] On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
- Author(s)
  Yohei Yamamoto
- Organizer
  2012 Hitotsubashi-Sogan Conference on Econometrics
- Place of Presentation
  西江大学（韓国）
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
- Author(s)
  山本庸平
- Organizer
  The 9th International Symposium on Econometric Theory and Applications
- Place of Presentation
  成均館大学（韓国ソウル市）
- Data Source
  KAKENHI-PROJECT-25870235

1. WATANABE Toshiaki (90254135)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
2. KUROZUMI Eiji (00332643)

# of Collaborated Projects: 2 results

# of Collaborated Products: 1 results
3. 新谷元嗣 (00252718)

# of Collaborated Projects: 2 results

# of Collaborated Products: 1 results
4. 塩路悦朗 (50301180)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. 陣内了 (50765617)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. 大森裕浩 (60251188)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
7. 加納隆 (90456179)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
8. SHIBA Tsunemasa (90187386)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. TANAKA Katsuto (40126595)

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
10. ISHIMURA Naoyuki (80212934)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. HONDA Toshio (30261754)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. ISHIHARA Tsunehiro (60609072)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. YAMADA Masahiro (60732435)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. YAMADA Toshiro (50754701)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. SHIMOTSU Katsumi (50547510)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. TAKAHASHI Hajime (70154838)

# of Collaborated Projects: 1 results

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17. KARIYA Takeaki (70092624)

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18. FUJITA Takahiko (50144316)

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# of Collaborated Products: 0 results
19. OGAWA Hikaru (10313967)

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20. HAYAKAWA Kazuhiko (00508161)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
21. OKUI Ryo (20563480)

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22. 伊ヶ崎大理 (10336068)

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23. 川崎晃央 (10452723)

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24. 古村聖 (30735783)

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25. 川地啓介 (40455069)

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26. 相浦洋志 (50511177)

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27. 家森信善 (80220515)

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28. 内藤徹 (90309732)

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29. 別所俊一郎 (90436741)

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30. 生方雅人 (00467507)

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31. 森田裕史 (70732759)

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32. Perron Pierre

# of Collaborated Projects: 1 results

# of Collaborated Products: 3 results
33. YAMAGATA Takashi

# of Collaborated Projects: 1 results

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34. HADRI Kaddor

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

YAMAMOTO Yohei 山本 庸平

Research Projects

Research Products

Co-Researchers

Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency dataOngoing

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動学的因子モデルにおける構造変化分析手法の開発と応用Principal InvestigatorOngoing

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Building New Macroeconometric Models with Applications to Economic Forecasting Using Big DataOngoing

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Enhancing the empirical applicability of structural change analysis in economic research(Fostering Joint International Research)Principal Investigator

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Developing dynamic factor models for economic policy effect and risk assessmentsPrincipal Investigator

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Globalization and Regional Policy Response: Theory and Evidence

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Development of Statistical Methods for Large Panel Data Models and Their Applications

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Enhancing the empirical applicability of structural change analysis in economic researchPrincipal Investigator

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Financial Engineering to ERM: Theoretical and Empirical Investigation

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[Journal Article] Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model2019

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[Journal Article] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2019

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[Journal Article] Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model2019

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[Journal Article] Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model2019

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[Journal Article] The Exchange Rate Effects of Macro News after the Global Financial Crisis2019

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YAMAMOTO Yohei 山本庸平