Graduate School of Economics

KUROZUMI Eiji

Books and Other Publications

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Papers

1.	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
2.	A new test for common breaks in heterogeneous panel data models (Peer-reviewed) Peiyun Jiang, Eiji Kurozumi Econometrics and Statistics 2023.2
3.	On the asymptotic behavior of bubble date estimators (Peer-reviewed) Eiji Kurozumi, Anton Skrobotov Journal of Time Series Analysis 2022.12
4.	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
5.	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
6.	Time-Transformed Test for Bubbles under Non-stationary Volatility (Peer-reviewed) Eiji Kurozumi, Anton Skrobotov, Alexey Tsarev Journal of Financial Econometrics 2022.4
7.	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
8.	Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility (jointly worked) Eiji Kurozumi, Anton Skrobotov, Alexey Tsarev manuscript 2020.12
9.	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
10.	Asymptotic Properties of Bubble Monitoring Tests (Peer-reviewed) Eiji Kurozumi Econometric Reviews Vol.39,No.5,pp.510-538 2020.4
11.	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
12.	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
13.	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
14.	MONITORING PARAMETER CONSTANCY WITH ENDOGENOUS REGRESSORS (Peer-reviewed) Eiji Kurozumi JOURNAL OF TIME SERIES ANALYSIS Vol.38,No.5,pp.791-805 2017.9
15.	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
16.	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
17.	「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
18.	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
19.	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
20.	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
21.	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
22.	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
23.	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
24.	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
25.	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
26.	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
27.	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
28.	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
29.	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
30.	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
31.	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
32.	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
33.	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
34.	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
35.	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
36.	Construction of Stationarity Tests with Less Size Distortions Eiji Kurozumi Hitotsubashi Journal of Economics Vol.50,No.1,pp.87-105 2009.6
37.	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
38.	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
39.	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
40.	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
41.	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
42.	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
43.	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
44.	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
45.	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
46.	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
47.	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
48.	The rank of a submatrix of cointegration (Peer-reviewed) E Kurozumi ECONOMETRIC THEORY Vol.21,No.2,pp.299-325 2005.4
49.	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
50.	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
51.	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
52.	Testing for Stationarity with a Break (Peer-reviewed) Eiji Kurozumi Journal of Econometrics Vol.108,No.1,pp.63-99 2002.4
53.	Testing for Periodic Stationarity (Peer-reviewed) Eiji Kurozumi Econometric Reviews Vol.21,No.2,pp.243-270 2002.3
54.	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
55.	Modified Lag Augmented Vector Autoregressions (jointly worked) (Peer-reviewed) Eiji Kurozumi, Taku Yamamoto Econometric Reviews Vol.19,No.2,pp.207-231 2000.4
56.	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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Misc.

1.	A-5 The most powerful invariant test for the constancy of parameters(時系列解析・制御理論(1))(日本統計学会第69回大会記録) 黒住 英司 日本統計学会誌 Vol.31,No.3,pp.407 2001
2.	E-2 The Limiting Properties of the Seasonal Unit Roots Tests(日本統計学会第67回大会記録 : 計量経済学方法論) 黒住 英司 日本統計学会誌 Vol.29,No.3,pp.389 1999

Awards

Research Projects

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For any enquiries, please contact Hitotsubashi Univ., Research Services Office at res-db (at sign) ad.hit-u.ac.jp (Please convert (at sign) mentioned previously to "@"symbol when sending e-mail).