Yohei Yamamoto
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Yohei |
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Yamamoto |
Identifer
Contact
Affiliations
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Hitotsubashi University
/ Graduate School of Economics/Faculty of Economics
Research profile
author of:
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods (RePEc:bla:jtsera:v:43:y:2022:i:3:p:389-411)
by Pierre Perron & Yohei Yamamoto - On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (RePEc:bos:wpaper:wp2008-006)
by Pierre Perron & Yohei Yamamoto - Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors (RePEc:bos:wpaper:wp2008-017)
by Pierre Perron & Yohei Yamamoto - Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions (RePEc:bos:wpaper:wp2011-049)
by Pierre Perron & Yohei Yamamoto - Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors (RePEc:bos:wpaper:wp2011-053)
by Pierre Perron & Yohei Yamamoto - A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS (RePEc:bos:wpaper:wp2011-054)
by Pierre Perron & Yohei Yamamoto - On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (RePEc:bos:wpaper:wp2013-012)
by Pierre Perron & Yohei Yamamoto - Testing for Changes in Forecasting Performance (RePEc:bos:wpaper:wp2019-003)
by Pierre Perron & Yohei Yamamoto - Testing for Changes in Forecasting Performance (RePEc:bos:wpaper:wp2019-013)
by Pierre Perron & Yohei Yamamoto - The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence (RePEc:bos:wpaper:wp2020-008)
by Pierre Perron & Yohei Yamamoto - Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model (RePEc:bos:wpaper:wp2020-010)
by Pierre Perron & Yohei Yamamoto & Jing Zhou - Is the Renminbi a safe haven? (RePEc:cth:wpaper:gru_2016_018)
by Rasmas Fatum & Yohei Yamamoto & Guozhong Zhu - The Exchange Rate Effects of Macro News after the Global Financial Crisis (RePEc:cth:wpaper:gru_2017_007)
by Yin-Wong Cheung & Rasmus Fatum & Yohei Yamamoto - Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields (RePEc:cth:wpaper:gru_2019_006)
by Rasmus Fatum & Naoko Hara & Yohei Yamamoto - Reserves and Risk: Evidence from China (RePEc:cth:wpaper:gru_2020_013)
by Rasmus Fatum & Takahiro Hattori & Yohei Yamamoto - A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls (RePEc:cup:etheor:v:30:y:2014:i:02:p:491-507_00)
by Perron, Pierre & Yamamoto, Yohei - A Cross-Sectional Method For Right-Tailed Panic Tests Under A Moderately Local To Unity Framework (RePEc:cup:etheor:v:39:y:2023:i:2:p:389-411_6)
by Yamamoto, Yohei & Horie, Tetsushi - Testing for factor loading structural change under common breaks (RePEc:eee:econom:v:189:y:2015:i:1:p:187-206)
by Yamamoto, Yohei & Tanaka, Shinya - Large versus small foreign exchange interventions (RePEc:eee:jbfina:v:43:y:2014:i:c:p:114-123)
by Fatum, Rasmus & Yamamoto, Yohei - Reserves and risk: Evidence from China (RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000451)
by Fatum, Rasmus & Hattori, Takahiro & Yamamoto, Yohei - Intra-safe haven currency behavior during the global financial crisis (RePEc:eee:jimfin:v:66:y:2016:i:c:p:49-64)
by Fatum, Rasmus & Yamamoto, Yohei - Is the Renminbi a safe haven? (RePEc:eee:jimfin:v:79:y:2017:i:c:p:189-202)
by Fatum, Rasmus & Yamamoto, Yohei & Zhu, Guozhong - The exchange rate effects of macro news after the global Financial Crisis (RePEc:eee:jimfin:v:95:y:2019:i:c:p:424-443)
by Cheung, Yin-Wong & Fatum, Rasmus & Yamamoto, Yohei - Does foreign exchange intervention volume matter? (RePEc:fip:feddgw:115)
by Rasmus Fatum & Yohei Yamamoto - Is the Renminbi a safe haven? (RePEc:fip:feddgw:276)
by Rasmus Fatum & Yohei Yamamoto & Guozhong Zhu - The Exchange Rate Effects of Macro News after the Global Financial Crisis (RePEc:fip:feddgw:305)
by Yin-Wong Cheung & Rasmus Fatum & Yohei Yamamoto - Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields (RePEc:fip:feddgw:354)
by Rasmus Fatum & Naoko Hara & Yohei Yamamoto - Reserves and Risk: Evidence from China (RePEc:fip:feddgw:88094)
by Rasmus Fatum & Takahiro Hattori & Yohei Yamamoto - Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model (RePEc:gam:jecnmx:v:7:y:2019:i:2:p:22-:d:233056)
by Pierre Perron & Yohei Yamamoto - Testing for Factor Loading Structural Change under Common Breaks (RePEc:hit:econdp:2013-17)
by YAMAMOTO, Yohei & 山本, 庸平 & TANAKA, Shinya & 田中, 晋也 - A Modified Confidence Set for the Structural Break Date in Linear Regression Models (RePEc:hit:econdp:2014-08)
by Yamamoto, Yohei & 山本, 庸平 - Confidence Sets for the Break Date Based on Optimal Tests (RePEc:hit:econdp:2015-01)
by KUROZUMI, Eiji & 黒住, 英司 & YAMAMOTO, Yohei & 山本, 庸平 - Asymptotic Inference for Common Factor Models in the Presence of Jumps (RePEc:hit:econdp:2015-05)
by YAMAMOTO, Yohei & 山本, 庸平 - Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets (RePEc:hit:econdp:2016-04)
by HORIE, Tetsushi & 堀江, 哲史 & YAMAMOTO, Yohei & 山本, 庸平 - Testing for Changes in Forecasting Performance (RePEc:hit:econdp:2018-03)
by PERRON, Pierre & YAMAMOTO, Yohei & 山本, 庸平 - Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model (RePEc:hit:econdp:2019-01)
by Perron, Pierre & Yamamoto, Yohei & 山本, 庸平 - The Efficiency of the Government’s Revenue Projections (RePEc:hit:hiasdp:hias-e-122)
by Arai, Natsuki & Iizuka, Nobuo & Yamamoto, Yohei - The Trend Effect of Foreign Exchange Intervention (RePEc:hit:hiasdp:hias-e-132)
by FATUM, Rasmus & YAMAMOTO, Yohei & CHEN, Binwei - Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions (RePEc:hit:hiasdp:hias-e-26)
by YAMAMOTO, Yohei & 山本, 庸平 - Asymptotic Inference for Common Factor Models in the Presence of Jumps (RePEc:hit:hiasdp:hias-e-4)
by YAMAMOTO, Yohei & 山本, 庸平 - Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances (RePEc:hit:hiasdp:hias-e-72)
by YAMAMOTO, Yohei & 山本, 庸平 - Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model (RePEc:hit:hiasdp:hias-e-85)
by Perron, Pierre & Yamamoto, Yohei & 山本, 庸平 & Zhou, Jing - The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence (RePEc:hit:hiasdp:hias-e-90)
by Perron, Pierre & Yamamoto, Yohei & 山本, 庸平 - Reserves and Risk : Evidence from China (RePEc:hit:hiasdp:hias-e-98)
by Fatum, Rasmus & Hattori, Takahiro & Yamamoto, Yohei - Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions (RePEc:hst:ghsdps:gd12-249)
by Yohei Yamamoto - Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions (RePEc:hst:ghsdps:gd12-250)
by Yohei Yamamoto & Pierre Perron - On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (RePEc:hst:ghsdps:gd12-258)
by Pierre Perron & Yohei Yamamoto - Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR (RePEc:hst:ghsdps:gd12-279)
by Dukpa Kim & Yohei Yamamoto - Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series (RePEc:hst:ghsdps:gd12-280)
by Yohei Yamamoto - Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields (RePEc:ime:imedps:19-e-02)
by Rasmus Fatum & Naoko Hara & Yohei Yamamoto - Does Foreign Exchange Intervention Volume Matter? (RePEc:kud:epruwp:12-03)
by Rasmus Fatum & Yohei Yamamoto - The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence (RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02047-x)
by Pierre Perron & Yohei Yamamoto - On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (RePEc:taf:emetrv:v:35:y:2016:i:5:p:782-844)
by Pierre Perron & Yohei Yamamoto - A modified confidence set for the structural break date in linear regression models (RePEc:taf:emetrv:v:37:y:2018:i:9:p:974-999)
by Yohei Yamamoto - Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series (RePEc:taf:jnlbes:v:34:y:2016:i:1:p:81-106)
by Yohei Yamamoto - Is the Renminbi a Safe Haven? (RePEc:tcr:wpaper:e109)
by Rasmus Fatum & Yohei Yamamoto & Guozhong Zhu - Estimating and testing multiple structural changes in linear models using band spectral regressions (RePEc:wly:emjrnl:v:16:y:2013:i:3:p:400-429)
by Yohei Yamamoto & Pierre Perron - Confidence sets for the break date based on optimal tests (RePEc:wly:emjrnl:v:18:y:2015:i:3:p:412-435)
by Eiji Kurozumi & Yohei Yamamoto - Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors (RePEc:wly:japmet:v:30:y:2015:i:1:p:119-144)
by Pierre Perron & Yohei Yamamoto - Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions (RePEc:wly:japmet:v:34:y:2019:i:2:p:247-267)
by Yohei Yamamoto - Identifying factor‐augmented vector autoregression models via changes in shock variances (RePEc:wly:japmet:v:37:y:2022:i:4:p:722-745)
by Yohei Yamamoto & Naoko Hara - Testing jointly for structural changes in the error variance and coefficients of a linear regression model (RePEc:wly:quante:v:11:y:2020:i:3:p:1019-1057)
by Pierre Perron & Yohei Yamamoto & Jing Zhou