Katsumi Shimotsu : Citation Profile


Are you Katsumi Shimotsu?

University of Tokyo (90% share)
Queen's University (10% share)

13

H index

16

i10 index

610

Citations

RESEARCH PRODUCTION:

15

Articles

38

Papers

RESEARCH ACTIVITY:

   14 years (2000 - 2014). See details.
   Cites by year: 43
   Journals where Katsumi Shimotsu has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 17 (2.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh189
   Updated: 2021-03-27    RAS profile: 2015-02-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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

Is cited by:

Yazgan, Ege (26)

DE TRUCHIS, Gilles (23)

Stengos, Thanasis (20)

Gil-Alana, Luis (19)

Sibbertsen, Philipp (19)

Bonhomme, Stéphane (17)

Aguirregabiria, Victor (17)

Jochmans, Koen (16)

Phillips, Peter (15)

Asai, Manabu (13)

McAleer, Michael (13)

Cites to:

Phillips, Peter (24)

Velasco, Carlos (13)

Robinson, Peter (11)

Andrews, Donald (11)

Bollerslev, Tim (9)

Aguirregabiria, Victor (9)

Diebold, Francis (9)

Rust, John (8)

Nielsen, Morten (8)

Kasahara, Hiroyuki (8)

Taylor, Mark (8)

Main data


Where Katsumi Shimotsu has published?


Journals with more than one article published# docs
Journal of Econometrics6
Econometrica2
Journal of the Japanese and International Economies2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University13
Discussion Papers / Graduate School of Economics, Hitotsubashi University6
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University4
CESifo Working Paper Series / CESifo2
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo2

Recent works citing Katsumi Shimotsu (2021 and 2020)


YearTitle of citing document
2020Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16.

Full description at Econpapers || Download paper

2020On the iterated estimation of dynamic discrete choice games. (2019). Bunting, Jackson ; Bugni, Federico. In: Papers. RePEc:arx:papers:1802.06665.

Full description at Econpapers || Download paper

2020Identification of Regression Models with a Misclassified and Endogenous Binary Regressor. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:1904.11143.

Full description at Econpapers || Download paper

2020Latent Dirichlet Analysis of Categorical Survey Responses. (2019). Ng, Serena ; Munro, Evan. In: Papers. RePEc:arx:papers:1910.04883.

Full description at Econpapers || Download paper

2021Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games. (2019). Blevins, Jason ; Dearing, Adam. In: Papers. RePEc:arx:papers:1912.10488.

Full description at Econpapers || Download paper

2020Efficient closed-form estimation of large spatial autoregressions. (2020). Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:2008.12395.

Full description at Econpapers || Download paper

2020InClass Nets: Independent Classifier Networks for Nonparametric Estimation of Conditional Independence Mixture Models and Unsupervised Classification. (2020). Shyamsundar, Prasanth ; Matchev, Konstantin T. In: Papers. RePEc:arx:papers:2009.00131.

Full description at Econpapers || Download paper

2021Duality in dynamic discrete-choice models. (2021). Galichon, Alfred ; Shum, Matt ; Chiong, Khai Xiang. In: Papers. RePEc:arx:papers:2102.06076.

Full description at Econpapers || Download paper

2021Inference on two component mixtures under tail restrictions. (2021). Henry, Marc ; Salani, Bernard ; Jochmans, Koen. In: Papers. RePEc:arx:papers:2102.06232.

Full description at Econpapers || Download paper

2021Monitoring the pandemic: A fractional filter for the COVID-19 contact rate. (2021). Hartl, Tobias. In: Papers. RePEc:arx:papers:2102.10067.

Full description at Econpapers || Download paper

2020Reservation Wages and Workers’ Valuation of Job Flexibility: Evidence from a Natural Field Experiment. (2020). Mogstad, Magne ; List, John ; Ding, Ning ; Chen, Kuan-Ming. In: Working Papers. RePEc:bfi:wpaper:2020-124.

Full description at Econpapers || Download paper

2020A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series. (2020). Lin, Shang Han. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:39:n:3.

Full description at Econpapers || Download paper

2020A robust test for predictability with unknown persistence. (2020). Yao, Shuang ; Liu, Guannan. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300483.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Nonparametric identification of discrete choice models with lagged dependent variables. (2020). Williams, Benjamin. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:286-304.

Full description at Econpapers || Download paper

2020Identifying dynamic discrete choice models off short panels. (2020). Miller, Robert A ; Arcidiacono, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:473-485.

Full description at Econpapers || Download paper

2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

Full description at Econpapers || Download paper

2020Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302875.

Full description at Econpapers || Download paper

2020The effect of a new power cable on energy prices volatility spillovers. (2020). Spagnolo, Nicola ; Sapio, Alessandro. In: Energy Policy. RePEc:eee:enepol:v:144:y:2020:i:c:s0301421520302354.

Full description at Econpapers || Download paper

2020Dynamic volatility spillover effects between oil and agricultural products. (2020). Nguyen, Duc Khuong ; Do, Hung ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301095.

Full description at Econpapers || Download paper

2020Business cycles and currency returns. (2020). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678.

Full description at Econpapers || Download paper

2020Are natural resources a blessing or a curse for financial development in Pakistan? The importance of oil prices, economic growth and economic globalization. (2020). Roubaud, David ; Lahiani, Amine ; Nawaz, Kishwar ; Atil, Ahmed . In: Resources Policy. RePEc:eee:jrpoli:v:67:y:2020:i:c:s0301420719309195.

Full description at Econpapers || Download paper

2021Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory. (2021). Huang, Yirong ; Lin, Yan ; Luo, YI ; Ding, Liang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309018.

Full description at Econpapers || Download paper

2020Persistence, non-linearities and structural breaks in European stock market indices. (2020). Caporale, Guglielmo Maria ; Poza, Carlos ; Gil-Alana, Luis A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:50-61.

Full description at Econpapers || Download paper

2021R&D tax credit and innovation: Evidence from private firms in india. (2021). Sharma, Ruchi ; Jose, Manu ; Ivus, Olena. In: Research Policy. RePEc:eee:respol:v:50:y:2021:i:1:s0048733320302031.

Full description at Econpapers || Download paper

2020The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137.

Full description at Econpapers || Download paper

2020Reservation Wages and Workers Valuation of Job Flexibility: Evidence from a Natural Field Experiment. (2020). Mogstad, Magne ; List, John ; Ding, Min ; Chen, Kuan-Ming . In: Natural Field Experiments. RePEc:feb:natura:00715.

Full description at Econpapers || Download paper

2021Integration and Disintegration of EMU Government Bond Markets. (2021). Sibbertsen, Philipp ; Voges, Michelle ; Leschinski, Christian. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:13-:d:517289.

Full description at Econpapers || Download paper

2021Temperature Anomalies, Long Memory, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:9-:d:509830.

Full description at Econpapers || Download paper

2020Volatility Transmission across Financial Markets: A Semiparametric Analysis. (2020). Sibbertsen, Philipp ; Mboya, Mwasi ; Kolaiti, Theoplasti. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:160-:d:389105.

Full description at Econpapers || Download paper

2020True versus Spurious Long Memory in Cryptocurrencies. (2020). Mazibas, Murat ; Rambaccussing, Dooruj. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:186-:d:400757.

Full description at Econpapers || Download paper

2021Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory. (2020). Sibbertsen, Philipp ; Dräger, Lena ; Drager, Lena. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-675.

Full description at Econpapers || Download paper

2020Growth, War, and Pandemics: Europe in the Very Long-run. (2020). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Prados de la Escosura, Leandro ; Rodriguez-Caballero, Carlos-Vladimir. In: Working Papers. RePEc:hes:wpaper:0185.

Full description at Econpapers || Download paper

2020Psychological Resilience to Major Socioeconomic Life Events. (2020). Shields, Michael ; Johnston, David ; Frijters, Paul ; Etilé, Fabrice. In: IZA Discussion Papers. RePEc:iza:izadps:dp13063.

Full description at Econpapers || Download paper

2020An Instrumental Variable Approach to Dynamic Models. (2020). Berry, Steven ; Compiani, Giovanni. In: NBER Working Papers. RePEc:nbr:nberwo:27756.

Full description at Econpapers || Download paper

2020Reservation Wages and Workers’ Valuation of Job Flexibility: Evidence from a Natural Field Experiment. (2020). Mogstad, Magne ; List, John ; Ding, Claire ; Chen, Kuan-Ming . In: NBER Working Papers. RePEc:nbr:nberwo:27807.

Full description at Econpapers || Download paper

2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

Full description at Econpapers || Download paper

2020Object Oriented (Dynamic) Programming: Replication, Innovation and Structural Estimation. (2020). Ferrall, Christopher. In: Working Paper. RePEc:qed:wpaper:1432.

Full description at Econpapers || Download paper

2020Whittle-type estimation under long memory and nonstationarity. (2020). Hassler, Uwe ; Cheung, Ying Lun. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:3:d:10.1007_s10182-019-00358-0.

Full description at Econpapers || Download paper

2020Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8.

Full description at Econpapers || Download paper

2021Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01784-4.

Full description at Econpapers || Download paper

2020Return predictability of variance differences: A fractionally cointegrated approach. (2020). Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1072-1089.

Full description at Econpapers || Download paper

2020Incentive Effects of R&D Tax Incentives – A Meta-Regression Analysis Focusing on R&D Tax Policy Designs. (2019). Poschel, Carla. In: arqus Discussion Papers in Quantitative Tax Research. RePEc:zbw:arqudp:243.

Full description at Econpapers || Download paper

2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation. (2019). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:323.

Full description at Econpapers || Download paper

Works by Katsumi Shimotsu:


YearTitleTypeCited
2008Empirical Likelihood Block Bootstrapping In: Staff Working Papers.
[Full Text][Citation analysis]
paper12
2011Empirical likelihood block bootstrapping.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2010Empirical Likelihood Block Bootstrapping.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2008Empirical Likelihood Block Bootstrapping.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2014Modified Quasi-Likelihood Ratio Test for Regime Switching In: The Japanese Economic Review.
[Full Text][Citation analysis]
article3
2014Non-parametric identification and estimation of the number of components in multivariate mixtures In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article11
2012Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures.(2012) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2012Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures.(2012) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2008Sequential Estimation of Structural Models with a Fixed Point Constraint In: CESifo Working Paper Series.
[Full Text][Citation analysis]
paper22
2012Sequential Estimation of Structural Models With a Fixed Point Constraint.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
article
2009Sequential Estimation of Structural Models with a Fixed Point Constraint.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2008Sequential Estimation Of Structural Models With A Fixed Point Constraint.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2013Does an R&D Tax Credit Affect R&D Expenditure? The Japanese R&D Tax Credit Reform in 2003 In: CESifo Working Paper Series.
[Full Text][Citation analysis]
paper3
2014Does an R&D tax credit affect R&D expenditure? The Japanese R&D tax credit reform in 2003.(2014) In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2013Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003 In: CARF F-Series.
[Full Text][Citation analysis]
paper1
2012Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003.(2012) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE In: Econometric Theory.
[Full Text][Citation analysis]
article5
2010EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND In: Econometric Theory.
[Full Text][Citation analysis]
article75
2000Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper5
2003Local Whittle Estimation in Nonstationary and Unit Root Cases In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper29
2000Pooled Log Periodogram Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper13
2004Exact Local Whittle Estimation of Fractional Integration In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper31
2009Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices In: Econometrica.
[Full Text][Citation analysis]
article83
2004Covariance-based orthogonality tests for regressors with unknown persistence In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]
paper3
2004Covariance-based orthogonality tests for regressors with unknown persistence.(2004) In: Econometric Society 2004 North American Summer Meetings.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2007Covariance-based Orthogonality Tests For Regressors With Unknown Persistence.(2007) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2006Local Whittle estimation of fractional integration and some of its variants In: Journal of Econometrics.
[Full Text][Citation analysis]
article62
2007Gaussian semiparametric estimation of multivariate fractionally integrated processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article44
2006Gaussian Semiparametric Estimation Of Multivariate Fractionally Integrated Processes.(2006) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
paper
2007Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article51
2006Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach.(2006) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2008Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models In: Journal of Econometrics.
[Full Text][Citation analysis]
article17
2012Exact local Whittle estimation of fractionally cointegrated systems In: Journal of Econometrics.
[Full Text][Citation analysis]
article35
2010Exact Local Whittle Estimation of Fractionally Cointegrated Systems.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2009Improvement in finite sample properties of the Hansen-Jagannathan distance test In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article10
2007Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test.(2007) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2010Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]
article6
2010Decline in the Persistence of Real Exchange Rates : But Not Sufficient for Purchasing Power Parity.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2011How Much Do R&D Tax Credits Affect R&D Expenditures? Japanese tax credit reform in 2003 In: Discussion papers.
[Full Text][Citation analysis]
paper1
2014The Effect of Large-Scale Retailers on Price Level: Evidence from Japanese data for 1977-1992 In: Discussion papers.
[Full Text][Citation analysis]
paper0
2010Nonparametric Identification of Multivariate Mixtures In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2011Sequential Estimation of Dynamic Programming Models with Unobserved Heterogeneity In: Discussion Papers.
[Full Text][Citation analysis]
paper1
2012Testing the Number of Components in Finite Mixture Models In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
paper0
2012Testing the Number of Components in Finite Mixture Models.(2012) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2006Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend In: Working Paper.
[Full Text][Citation analysis]
paper35
2006Nested Pseudo-likelihood Estimation And Bootstrap-based Inference For Structural Discrete Markov Decision Models In: Working Paper.
[Full Text][Citation analysis]
paper2
2006Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models.(2006) In: UWO Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2006Nonparametric Identification And Estimation Of Finite Mixture Models Of Dynamic Discrete Choices In: Working Paper.
[Full Text][Citation analysis]
paper3
2006Nonparametric Identification and Estimation of Finite Mixture Models of Dynamic Discrete Choices.(2006) In: UWO Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2006Simple (but Effective) Tests Of Long Memory Versus Structural Breaks In: Working Paper.
[Full Text][Citation analysis]
paper44
2006Enrollment Responses To Labour Market Conditions: A Study Of The Canadian Market For Scientists And Engineers In: Working Paper.
[Full Text][Citation analysis]
paper0
2007Financial Market Integration And World Economic Stabilization Toward Purchasing Power Parity In: Working Paper.
[Full Text][Citation analysis]
paper1
2007Nonparametric Identification And Estimation Of Multivariate Mixtures In: Working Paper.
[Full Text][Citation analysis]
paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team