Tomohiro Ando : Citation Profile


Are you Tomohiro Ando?

University of Melbourne

9

H index

8

i10 index

179

Citations

RESEARCH PRODUCTION:

29

Articles

7

Papers

RESEARCH ACTIVITY:

   15 years (2004 - 2019). See details.
   Cites by year: 11
   Journals where Tomohiro Ando has often published
   Relations with other researchers
   Recent citing documents: 78.    Total self citations: 17 (8.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan527
   Updated: 2020-08-09    RAS profile: 2020-07-12    
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Relations with other researchers


Works with:

Bai, Jushan (8)

Authors registered in RePEc who have co-authored more than one work in the last five years with Tomohiro Ando.

Is cited by:

Baştürk, Nalan (12)

van Dijk, Herman (11)

Grassi, Stefano (6)

Gonzalez-Rivera, Gloria (6)

Ceyhan Darendeli, Sanli (5)

Çakmaklı, Cem (5)

Ruiz, Esther (5)

Fernández-Huertas Moraga, Jesús (4)

Halla, Martin (4)

Okui, Ryo (4)

Su, Liangjun (3)

Cites to:

Bai, Jushan (25)

Ng, Serena (19)

Watson, Mark (19)

Forni, Mario (15)

Lippi, Marco (14)

van Dijk, Herman (14)

Zellner, Arnold (14)

Stock, James (13)

Boivin, Jean (10)

Reichlin, Lucrezia (9)

Kleibergen, Frank (9)

Main data


Where Tomohiro Ando has published?


Journals with more than one article published# docs
International Journal of Forecasting4
Econometric Reviews4
Journal of the American Statistical Association3
Computational Statistics & Data Analysis2
Biometrika2
Economics Letters2
Annals of the Institute of Statistical Mathematics2
Applied Stochastic Models in Business and Industry2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany4
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Tomohiro Ando (2020 and 2019)


YearTitle of citing document
2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2018Model Averaging for High-Dimensional Linear Models. (2018). Pan, Juming. In: Biostatistics and Biometrics Open Access Journal. RePEc:adp:jbboaj:v:6:y:2018:i:2:p:46-47.

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2020Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis. (2020). Hasse, Jean-Baptiste ; Lajaunie, Quentin. In: AMSE Working Papers. RePEc:aim:wpaimx:2013.

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2018Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

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2018Heterogeneous structural breaks in panel data models. (2018). Okui, Ryo ; Wang, Wendun. In: Papers. RePEc:arx:papers:1801.04672.

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2018Panel Data Quantile Regression with Grouped Fixed Effects. (2018). Volgushev, Stanislav. In: Papers. RePEc:arx:papers:1801.05041.

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2020Limit Theorems for Factor Models. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.06338.

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2020Complete Subset Averaging with Many Instruments. (2019). Shin, Youngki ; Lee, Seojeong. In: Papers. RePEc:arx:papers:1811.08083.

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2019Robust Nearly-Efficient Estimation of Large Panels with Factor Structures. (2019). Zaffaroni, Paolo ; Avarucci, Marco . In: Papers. RePEc:arx:papers:1902.11181.

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2019Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2019Subspace Clustering for Panel Data with Interactive Effects. (2019). Tony, Hon Keung ; Qu, Hao ; Gao, Wei ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:1909.09928.

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2019Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2020Blocked Clusterwise Regression. (2020). Cytrynbaum, Max. In: Papers. RePEc:arx:papers:2001.11130.

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2020Complete Subset Averaging for Quantile Regressions. (2020). Shin, Youngki ; Lee, Ji Hyung. In: Papers. RePEc:arx:papers:2003.03299.

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2020Seemingly Unrelated Regression with Measurement Error: Estimation via Markov chain Monte Carlo and Mean Field Variational Bayes Approximation. (2020). Rahman, Mohammad Arshad ; Chaturvedi, Anoop ; BRESSON, Georges ; Shalabh, . In: Papers. RePEc:arx:papers:2006.07074.

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2020Detangling robustness in high dimensions: composite versus model-averaged estimation. (2020). Bradic, Jelena ; Claeskens, Gerda ; Zhou, Jing. In: Papers. RePEc:arx:papers:2006.07457.

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2020Forecasting with Bayesian Grouped Random Effects in Panel Data. (2020). Zhang, Boyuan. In: Papers. RePEc:arx:papers:2007.02435.

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2018What role for human capital in the growth process: new evidence from endogenous latent factor panel quantile regressions. (2018). Le Gallo, Julie ; Kostov, Philip ; LeGallo, Julie . In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:65:y:2018:i:5:p:501-527.

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2018Growth in Stress. (2018). Gonzalez-Rivera, Gloria ; Ortega, Esther Ruiz ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:26623.

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2019Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053.

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2020Estimation of Weak Factor Models. (2020). Uematsu, Yoshimasa ; Yamagata, Takashi. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053r.

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2020Inference in Weak Factor Models. (2020). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1080.

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2019Heterogeneous Decision-Making and Market Power. (2019). Tsionas, Mike G ; Sickles, Robin ; Kutlu, Levent. In: Working Papers. RePEc:ecl:riceco:19-008.

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2020Corrected Mallows criterion for model averaging. (2020). Zou, Guohua ; Liao, Jun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302579.

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2019Averaging estimators for discrete choice by M-fold cross-validation. (2019). Zhao, Shangwei ; Yang, Guangren ; Zhou, Jianhong . In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:65-69.

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2020A Bayesian inversion framework to evaluate parameter and predictive inference of a simple soil respiration model in a cool-temperate forest in western Japan. (2020). Azuma, Wakana A ; Ishihara, Masae I ; Doi, Kazuki ; Toda, Motomu ; Yokozawa, Masayuki. In: Ecological Modelling. RePEc:eee:ecomod:v:418:y:2020:i:c:s0304380019304260.

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2018Spatial weights matrix selection and model averaging for spatial autoregressive models. (2018). Zhang, Xinyu ; Yu, Jihai. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:1-18.

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2018Weighted-average least squares estimation of generalized linear models. (2018). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:1-17.

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2018Estimation of large dimensional factor models with an unknown number of breaks. (2018). Su, Liangjun ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:1-29.

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2019Model averaging based on leave-subject-out cross-validation for vector autoregressions. (2019). Zou, Guohua ; Zhang, Xinyu ; Zong, Xianpeng ; Liao, Jun. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:35-60.

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2019Sequentially adaptive Bayesian learning algorithms for inference and optimization. (2019). Durham, Garland ; Geweke, John. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:4-25.

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2019Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty. (2019). Babii, Andrii ; Ghysels, Eric ; Chen, XI. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:47-77.

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2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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2019Quantile-regression-based clustering for panel data. (2019). Zhu, Zhongyi ; Wang, Huixia Judy ; Zhang, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:54-67.

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2019Panel data quantile regression with grouped fixed effects. (2019). Volgushev, Stanislav. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:68-91.

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2020Panel threshold regressions with latent group structures. (2020). Su, Liangjun ; Wang, Wendun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:451-481.

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2020Identification and estimation in panel models with overspecified number of groups. (2020). Zhou, Qiankun ; Zhang, Yong Hui ; Shang, Zuofeng ; Liu, Ruiqi. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:574-590.

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2020A robust procedure to build dynamic factor models with cluster structure. (2020). Galeano, Pedro ; Alonso, Andres M ; Pea, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:35-52.

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2019A two-stage estimator for heterogeneous panel models with common factors. (2019). Castagnetti, Carolina ; Trapani, Lorenzo ; Rossi, Eduardo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:63-82.

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2020Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

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2020Quadratic regression for functional response models. (2020). Matsui, Hidetoshi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:125-136.

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2019Credit spread approximation and improvement using random forest regression. (2019). Lardy, Jean-Pierre ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:1:p:351-365.

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2017Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:52-68.

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2019Semiparametric quantile averaging in the presence of high-dimensional predictors. (2019). Gooijer, Jan G. ; de Gooijer, Jan G ; Zerom, Dawit. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:891-909.

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2019Growth in stress. (2019). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Maldonado, Javier. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:948-966.

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2019High-dimensional integrative analysis with homogeneity and sparsity recovery. (2019). Huang, Jian ; Yan, Xiaodong ; Yang, Xinfeng. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x18305165.

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2020Bayesian inference of the multi-period optimal portfolio for an exponential utility. (2020). Schmid, Wolfgang ; Parolya, Nestor ; Bodnar, Taras ; Bauder, David. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x1930123x.

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2018Nets: network estimation for time series. (2018). Barigozzi, Matteo ; Brownlees, Christian T. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90493.

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2019Panel Forecasting with Asymmetric Grouping. (2019). Paap, Richard ; Nibbering, D. In: Econometric Institute Research Papers. RePEc:ems:eureir:119521.

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2019Impacts of Urbanisation on Trust: Evidence from a Lab in the Field on a Natural Experiment. (2019). Xu, Elvis Cheng. In: Artefactual Field Experiments. RePEc:feb:artefa:00676.

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2020Identification Through Sparsity in Factor Models. (2020). Freyaldenhoven, Simon. In: Working Papers. RePEc:fip:fedpwp:88229.

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2019On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator. (2019). Sueishi, Naoya ; Ando, Tomohiro. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:15-:d:215602.

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2019On the Forecast Combination Puzzle. (2019). Yang, Yuhong ; Cheng, Gang ; Rolling, Craig A ; Qian, Wei. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:39-:d:265946.

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2020Cross-Validation Model Averaging for Generalized Functional Linear Model. (2020). Zou, Guohua ; Zhang, Haili. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:1:p:7-:d:324497.

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2020The Impact of Thailands Openness on Bilateral Trade between Thailand and Japan: Copula-Based Markov Switching Seemingly Unrelated Regression Model. (2020). Phetsakda, Kanyaphon ; Boonyakunakorn, Petchaluck ; Pastpipatkul, Pathairat . In: Economies. RePEc:gam:jecomi:v:8:y:2020:i:1:p:9-:d:314464.

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2018Business Distress Prediction Using Bayesian Logistic Model for Indian Firms. (2018). Shrivastava, Arvind ; Kumar, Nitin. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:113-:d:174285.

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2020Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis. (2020). Lajaunie, Quentin ; Hasse, Jean-Baptiste. In: Working Papers. RePEc:hal:wpaper:halshs-02549044.

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2018Confidence Set for Group Membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Working Papers in Economics. RePEc:hhs:gunwpe:0727.

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2020Social responsible mutual funds and lowcarbon economy. (2020). Tortosa-Ausina, Emili ; Soler-Dominguez, Amparo ; Matallin-Saez, Juan Carlos ; de Mingo-Lopez, Diego Victor. In: Working Papers. RePEc:jau:wpaper:2020/15.

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2018Identification and estimation in panel models with overspecified number of groups. (2018). Zhou, Qiankun ; Zhang, Yonghui ; Shang, Zuofeng ; Schick, Anton ; Liu, Ruiqi. In: Departmental Working Papers. RePEc:lsu:lsuwpp:2018-03.

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2018Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions. (2018). Racine, Jeffrey ; Zheng, LI ; Li, QI. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2018-10.

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2018Optimal Estimation with Complete Subsets of Instruments. (2018). Shin, Youngki ; Lee, Seojeong. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2018-15.

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2020Complete Subset Averaging for Quantile Regressions. (2020). Shin, Youngki ; Lee, Ji Hyung. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2020-03.

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2019Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness. (2019). GAO, Jiti ; Yang, Yanrong ; Liu, Fei. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-24.

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2020Celebrating 40 Years of Panel Data Analysis: Past, Present and Future. (2020). Sarafidis, Vasilis ; Wansbeek, Tom. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-6.

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2020Stock price prediction using principal components. (2020). Ghorbani, Mahsa. In: PLOS ONE. RePEc:plo:pone00:0230124.

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2018How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL. (2018). Türsoy, Turgut ; Shahbaz, Muhammad ; Berk, Niyazi ; Faisal, Faisal. In: MPRA Paper. RePEc:pra:mprapa:88899.

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2019Multidemsional Skills and Returns to Schooling: Evidence from an Interactive Fixed Effects Aproach and a Linked Survey-Administrative Dataset. (2019). Totty, Evan ; Li, Xiaoxiao ; Kejriwal, Mohitosh . In: Purdue University Economics Working Papers. RePEc:pur:prukra:1316.

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2018Asset allocation strategies based on penalized quantile regression. (2018). Caporin, Massimiliano ; Paterlini, Sandra ; Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0288-3.

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2019Mixtures of multivariate restricted skew-normal factor analyzer models in a Bayesian framework. (2019). Wraith, Darren ; Maleki, Mohsen. In: Computational Statistics. RePEc:spr:compst:v:34:y:2019:i:3:d:10.1007_s00180-019-00870-6.

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2020Why are Bayesian trend-cycle decompositions of US real GDP so different?. (2020). Kim, Jaeho ; Chon, Sora . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1554-0.

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2018A Bayesian Generalized Linear Model for Crimean–Congo Hemorrhagic Fever Incidents. (2018). Ryu, Duchwan ; Ebrahimi, Nader ; Liang, Faming ; Ergonul, Onder ; Bilgili, Devrim. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:23:y:2018:i:1:d:10.1007_s13253-017-0310-9.

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2018A Variant of AIC Based on the Bayesian Marginal Likelihood. (2018). Kawakubo, Yuki ; Srivastava, Muni S ; Kubokawa, Tatsuya. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:80:y:2018:i:1:d:10.1007_s13571-018-0152-7.

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2019Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator. (2019). Bhattacharjee, Arnab ; Maiti, Taps ; Calantone, Roger ; Cai, Liqian. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-018-0176-z.

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2020Covariance matrix estimation in a seemingly unrelated regression model under Stein’s loss. (2020). Kurata, Hiroshi ; Matsuura, Shun. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:1:d:10.1007_s10260-019-00473-x.

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2020Testing slope homogeneity in panel data models with a multifactor error structure. (2020). He, Zekai ; Xu, Feng. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0929-1.

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2017Nonparametric Inference for Time-Varying Coefficient Quantile Regression. (2017). Wu, Weichi ; Zhou, Zhou. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:1:p:98-109.

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2018Growth in Stress. (2018). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Vicente, Javier . In: Working Papers. RePEc:ucr:wpaper:201805.

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Works by Tomohiro Ando:


YearTitleTypeCited
2011Quantile regression models with factor‐augmented predictors and information criterion In: Econometrics Journal.
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2011Quantile regression models with factor‐augmented predictors and information criterion.(2011) In: Econometrics Journal.
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2009Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria In: Computational Statistics & Data Analysis.
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2012Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market In: Computational Statistics & Data Analysis.
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article2
2015A simple new test for slope homogeneity in panel data models with interactive effects In: Economics Letters.
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2014A simple new test for slope homogeneity in panel data models with interactive effects.(2014) In: MPRA Paper.
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2019Regularization parameter selection for penalized empirical likelihood estimator In: Economics Letters.
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2010A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model In: Journal of Econometrics.
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2009Bayesian portfolio selection using a multifactor model In: International Journal of Forecasting.
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article2
2010Bayesian and non-Bayesian analysis of the seemingly unrelated regression model with Student-t errors, and its application for forecasting In: International Journal of Forecasting.
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article2
2010Rejoinder In: International Journal of Forecasting.
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2010Predictive likelihood for Bayesian model selection and averaging In: International Journal of Forecasting.
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article1
2009Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood In: Journal of Multivariate Analysis.
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article2
2012Oil and metal price movements and BRIC macro-economy: an empirical analysis In: International Journal of Business and Globalisation.
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article1
2004Bayesian information criteria and smoothing parameter selection in radial basis function networks In: Biometrika.
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2007Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models In: Biometrika.
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2015Asset Pricing with a General Multifactor Structure In: Journal of Financial Econometrics.
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2014Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates In: Journal of the Operational Research Society.
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2013Panel data models with grouped factor structure under unknown group membership In: MPRA Paper.
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2016Panel Data Models with Grouped Factor Structure Under Unknown Group Membership.(2016) In: Journal of Applied Econometrics.
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2013Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors In: MPRA Paper.
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2018Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity In: MPRA Paper.
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2019A Quantile-based Asset Pricing Model In: Economics and Statistics Working Papers.
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2008Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach In: Annals of the Institute of Statistical Mathematics.
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article1
2009Nonlinear logistic discrimination via regularized radial basis functions for classifying high-dimensional data In: Annals of the Institute of Statistical Mathematics.
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2014Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo In: Econometric Reviews.
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2012Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo.(2012) In: Tinbergen Institute Discussion Papers.
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2014A Predictive Approach for Selection of Diffusion Index Models In: Econometric Reviews.
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2018Stock return predictability: A factor-augmented predictive regression system with shrinkage method In: Econometric Reviews.
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2018Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency In: Econometric Reviews.
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2014A Model-Averaging Approach for High-Dimensional Regression In: Journal of the American Statistical Association.
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article25
2017Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures In: Journal of the American Statistical Association.
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2020Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity In: Journal of the American Statistical Association.
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