Graduate School of Economics

KUROZUMI Eiji

Books and Other Publications

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Papers

1.	Change-point estimators with the weighted objective function when sequentially estimating breaks (Peer-reviewed) Toshikazu Tayanagi, Eiji Kurozumi Econometrics and Statistics 2024.10
2.	Testing for a bubble with a stochastically varying explosive coefficient (Peer-reviewed) Eiji Kurozumi, Mikihito Nishi Journal of Time Series Analysis 2024.9
3.	On the asymptotic behavior of bubble date estimators (Peer-reviewed) Eiji Kurozumi, Anton Skrobotov Journal of Time Series Analysis Vol.44,pp.359-373 2023.6
4.	Fluctuation-type monitoring test for explosive behavior (Peer-reviewed) Eiji Kurozumi Econometrics and Statistics 2023.6
5.	Stochastic local and moderate departures from a unit root and its application to unit root testing (Peer-reviewed) Mikihito Nishi, Eiji Kurozumi Journal of Time Series Analysis 2023.5
6.	In-Fill Asymptotic Distribution of the Change Point Estimator when Estimating Breaks One at a Time (Peer-reviewed) Toshikazu Tayanagi, Eiji Kurozumi Journal of Time Series Econometrics 2023.3
7.	A new test for common breaks in heterogeneous panel data models (Peer-reviewed) Peiyun Jiang, Eiji Kurozumi Econometrics and Statistics 2023.2
8.	In-fill Asymptotic Distribution of the Change Point Estimator When Estimating Breaks One at a Time Toshikazu Tayanagi, Eiji Kurozumi Discussion paper #2022-03, Graduate Shool of Economis, Hitotsubashi University 2022.9
9.	Stochastic Local and Moderate Departures from a Unit Root and Its Application to Unit Root Testing Mikihito Nishi, Eiji Kurozumi Discussion paper #2022-02, Graduate Shool of Economis, Hitotsubashi University 2022.8
10.	Time-Transformed Test for Bubbles under Non-stationary Volatility (Peer-reviewed) Eiji Kurozumi, Anton Skrobotov, Alexey Tsarev Journal of Financial Econometrics 2022.4
11.	Asymptotic Behavior of Delay Times of Bubble Monitoring Tests (Peer-reviewed) Eiji Kurozumi Journal of Time Series Analysis Vol.42,No.3,pp.314-337 2021.5
12.	Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility (jointly worked) Eiji Kurozumi, Anton Skrobotov, Alexey Tsarev manuscript 2020.12
13.	Monitoring parameter changes in models with a trend (jointly worked) (Peer-reviewed) Peiyun Jiang, Eiji Kurozumi Journal of Statistical Planning and Inference Vol.207,pp.288-319 2020.6
14.	Asymptotic Properties of Bubble Monitoring Tests (Peer-reviewed) Eiji Kurozumi Econometric Reviews Vol.39,No.5,pp.510-538 2020.4
15.	Power Properties of the Modified CUSUM Tests (jointly worked) (Peer-reviewed) Peiyun Jiang, Eiji Kurozumi Communications in Statistics - Theory and Methods Vol.48,No.12,pp.2962-2981 2019.6
16.	Confidence Sets for the Date of a Structural Change at the End of a Sample (Peer-reviewed) Eiji Kurozumi Journal of Time Series Analysis Vol.39,pp.850-862 2018.11
17.	Confidence Sets for the Break Date in Cointegrating Regressions (Peer-reviewed) Eiji Kurozumi, Anton Skrobotov Oxford Bulletin of Economics and Statistics Vol.80,No.3,pp.514-535 2018.6
18.	MONITORING PARAMETER CONSTANCY WITH ENDOGENOUS REGRESSORS (Peer-reviewed) Eiji Kurozumi JOURNAL OF TIME SERIES ANALYSIS Vol.38,No.5,pp.791-805 2017.9
19.	Confidence Sets for the Date of a Mean Shift at the End of a Sample Eiji Kurozumi Discussion Paper of Graduate School of Economics, Hitotsubashi University 2017.9
20.	Construction of Confidence Sets for the Break Date in Regression Models with Non-homogeneous Regressors (Peer-reviewed) Kurozumi Eiji Journal of the Japan Statistical Society(Series J) Vol.46,No.1,pp.69-84 2016.9
21.	「非線形・非定常時系列のモデリング」担当 （共著） 黒住 英司 T.S.ラオ ・S.S.ラオ ・C.R.ラオ 編『時系列分析ハンドブック』（北川源四郎，田中勝人，川崎能典監訳），朝倉書店 2016.2
22.	Improving the finite sample performance of tests for a shift in mean (Peer-reviewed) Daisuke Yamazaki, Eiji Kurozumi JOURNAL OF STATISTICAL PLANNING AND INFERENCE Vol.167,pp.144-173 2015.12
23.	SYNERGY BETWEEN AN IMPROVED COVARIATE UNIT ROOT TEST AND CROSS-SECTIONALLY DEPENDENT PANEL DATA UNIT ROOT TESTS (Peer-reviewed) Kaddour Hadri, Eiji Kurozumi, Daisuke Yamazaki MANCHESTER SCHOOL Vol.83,No.6,pp.676-700 2015.12
24.	Novel panel cointegration tests emending for cross-section dependence with N fixed (Peer-reviewed) Kaddour Hadri, Eiji Kurozumi, Yao Rao ECONOMETRICS JOURNAL Vol.18,No.3,pp.363-411 2015.10
25.	Confidence sets for the break date based on optimal tests (Peer-reviewed) Eiji Kurozumi, Yohei Yamamoto ECONOMETRICS JOURNAL Vol.18,No.3,pp.412-435 2015.10
26.	Testing for parameter constancy in the time series direction in panel data models (Peer-reviewed) Daisuke Yamazaki, Eiji Kurozumi JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION Vol.85,No.14,pp.2874-2902 2015.9
27.	Testing for Multiple Structural Changes with Non-Homogeneous Regressors (Peer-reviewed) Eiji Kurozumi Journal of Time Series Econometrics Vol.7,No.1,pp.1-35 2015.1
28.	Tests for a Level Shift and the Non-Monotonic Power Problem(<Special Section>Economic Analysis and Structural Change) (Peer-reviewed) Yamazaki Daisuke, Kurozumi Eiji Journal of the Japan Statistical Society, Japanese Issue Vol.44,No.1,pp.61-74 2014.9
29.	THE ET INTERVIEW: PROFESSOR KATSUTO TANAKA (Peer-reviewed) In Choi, Eiji Kurozumi, Katsuto Tanaka ECONOMETRIC THEORY Vol.30,No.2,pp.474-490 2014.4
30.	ESTIMATION AND INFERENCE IN PREDICTIVE REGRESSIONS (jointly worked) EIJI KUROZUMI, KOHEI AONO Hitotsubashi Journal of Economics Vol.54,No.2,pp.231-250 2013.12
31.	Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data (jointly worked) Eiji Kurozumi, Daisuke Yamazaki, Kaddour Hadri Global COE Hi-Stat Discussion Paper Series No.256 2012.12
32.	Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small (jointly worked) (Peer-reviewed) Eiji Kurozumi, Shinya Tanaka Economics Letters Vol.116,No.3,pp.465-468 2012.6
33.	Model Selection Criteria for the Leads-and-Lags Cointegrating Regression (jointly worked) (Peer-reviewed) In Choi, Eiji Kurozumi Journal of Econometrics Vol.169,No.2,pp.224-238 2012.4
34.	A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor (jointly worked) (Peer-reviewed) Eiji Kurozumi, Kaddour Hadri Economics Letters Vol.115,No.1,pp.31-34 2012.1
35.	Testing the Prebish-Singer hypothesis using second-generation panel data stationarity tests with a break (Peer-reviewed) Rabah Arezki, Kaddour Hadri, Eiji Kurozumi, Yao Rao Economics Letters Vol.117,No.3,pp.814-816 2012
36.	A LOCALLY OPTIMAL TEST FOR NO UNIT ROOT IN CROSS-SECTIONALLY DEPENDENT PANEL DATA Kaddour Hadri, Eiji Kurozumi HITOTSUBASHI JOURNAL OF ECONOMICS Vol.52,No.2,pp.165-184 2011.12
37.	Model Selection Criteria in Multivariate Models with Multiple Structural Changes (jointly worked) (Peer-reviewed) Eiji Kurozumi, Purevdorj Tuvaandorj Journal of Econometrics Vol.164,No.2,pp.218-238 2011.11
38.	Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes (jointly worked) Eiji Kurozumi, Khashbaatar Dashtseren Global COE Hi-Stat Discussion Paper Series No.187 2011.4
39.	Reducing the size distortion of the KPSS test (Peer-reviewed) Eiji Kurozumi, Shinya Tanaka JOURNAL OF TIME SERIES ANALYSIS Vol.31,No.6,pp.415-426 2010.11
40.	Construction of Stationarity Tests with Less Size Distortions Eiji Kurozumi Hitotsubashi Journal of Economics Vol.50,No.1,pp.87-105 2009.6
41.	Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors (Peer-reviewed) Eiji Kurozumi, Kazuhiko Hayakawa JOURNAL OF ECONOMETRICS Vol.149,No.2,pp.118-135 2009.4
42.	The role of "leads" in the dynamic OLS estimation of cointegrating regression models (Peer-reviewed) Kazuhiko Hayakawa, Eiji Kurozumi MATHEMATICS AND COMPUTERS IN SIMULATION Vol.79,No.3,pp.555-560 2008.12
43.	Economic time series analysis and unit root tests : development and perspective(<Special Section>Commemoration of the 75th Anniversary of the Japan Statistical society (III)) (Peer-reviewed) Kurozumi Eiji Journal of the Japan Statistical Society Japanese issue Vol.38,No.1,pp.39-57 2008.9
44.	Test for the null hypothesis of cointegration with reduced size distortion (Peer-reviewed) Eiji Kurozumi, Yoichi Arai JOURNAL OF TIME SERIES ANALYSIS Vol.29,No.3,pp.476-500 2008.5
45.	Variable Lag Augmentation in Regression Models wit Possibly Integrated Regressors: Some Experimental Results (jointly worked) Eiji Kurozumi, Taku Yamamoto Hiroshima Economic Review Vol.31,No.1,pp.21-34 2007.8
46.	Efficient estimation and inference in cointegrating regressions with structural change (Peer-reviewed) Eiji Kurozumi, Yoichi Arai JOURNAL OF TIME SERIES ANALYSIS Vol.28,No.4,pp.545-575 2007.7
47.	The Wald-Type Test of a Normalization of Cointegrating Vectors (Peer-reviewed) Eiji Kurozumi Journal of the Japan Statistical Society Vol.37,No.2,pp.191-205 2007.4
48.	Testing for the null hypothesis of cointegration with a structural break (Peer-reviewed) Yoichi Arai, Eiji Kurozumi ECONOMETRIC REVIEWS Vol.26,No.6,pp.705-739 2007
49.	Tests for Long-Run Granger Non-Causality in Cointegrated Systems (jointly worked) (Peer-reviewed) Eiji Kurozumi, Taku Yamamoto Journal of Time Series Analysis Vol.27,No.5,pp.703-723 2006.4
50.	Lag augmentation in regression models with possibly integrated regressors (Peer-reviewed) T Yamamoto, E Kurozumi HITOTSUBASHI JOURNAL OF ECONOMICS Vol.46,No.2,pp.159-175 2005.12
51.	Equivalence of two expressions of the impact matrix (Peer-reviewed) E Kurozumi, H Chigira, T Yamamoto ECONOMETRIC THEORY Vol.21,No.4,pp.870-875 2005.8
52.	The rank of a submatrix of cointegration (Peer-reviewed) E Kurozumi ECONOMETRIC THEORY Vol.21,No.2,pp.299-325 2005.4
53.	Detection of Structural Change in the Long-Run Persistence in a Univariate Time Series (Peer-reviewed) Eiji Kurozumi Oxford Bulletin of Economics and Statistics Vol.67,No.2,pp.181-206 2005.4
54.	Some Properties of the Point Optimal Invariant Test for the Constancy of Parameters (Peer-reviewed) Eiji Kurozumi Journal of the Japan Statistical Society Vol.33,No.2,pp.169-180 2003.4
55.	The limiting properties of the Canova and Hansen test under local alternatives (Peer-reviewed) E Kurozumi ECONOMETRIC THEORY Vol.18,No.5,pp.1197-1220 2002.10
56.	Testing for Stationarity with a Break (Peer-reviewed) Eiji Kurozumi Journal of Econometrics Vol.108,No.1,pp.63-99 2002.4
57.	Testing for Periodic Stationarity (Peer-reviewed) Eiji Kurozumi Econometric Reviews Vol.21,No.2,pp.243-270 2002.3
58.	Finite Sample Properties of the Test for Long-Run Granger Non-Causality in Cointegrated Systems (jointly worked) (Peer-reviewed) Eiji Kurozumi, Taku Yamamoto Proceedings of International Congress on Modelling and Simulation 2001, Modelling and Simulation Society of Australia and New Zealand Inc., pp.1243-1248 2001.4
59.	Modified Lag Augmented Vector Autoregressions (jointly worked) (Peer-reviewed) Eiji Kurozumi, Taku Yamamoto Econometric Reviews Vol.19,No.2,pp.207-231 2000.4
60.	Essays on Testing for Stationarity Possibly with Seasonality and a Structural Change (Peer-reviewed) Eiji Kurozumi Ph. D. Thesis submitted to Hitotsubashi University 2000.3

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Awards

Research Projects

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