Graduate School of Economics
KUROZUMI Eiji
  • Curriculum Vitae
  • Research Results
  • Educational and Social Activities

日本語

Books

1.Econometrics
2016
ISBN 9784492314722

Paper

1.Monitoring parameter changes in models with a trend(jointly worked)
Journal of Statistical Planning and Inference Vol.207,pp.288-319 2020 Academic journal
ISSN 0378-3758
2.Asymptotic Properties of Bubble Monitoring Tests
Econometric Reviews 2019 Academic journal
doi
3.Power Properties of the Modified CUSUM Tests(jointly worked)
Communications in Statistics - Theory and Methods 2018 Academic journal
doi
4.Confidence Sets for the Date of a Structural Change at the End of a Sample
Journal of Time Series Analysis Vol.39,pp.850-862 2018 Academic journal
5.Confidence Sets for the Break Date in Cointegrating Regressions(jointly worked)
Oxford Bulletin of Economics and Statistics Vol.80,pp.514-535 2018 Academic journal
doi
6.Monitoring Parameter Constancy with Endogenous Regressors
Journal of Time Series Analysis Vol.38,No.5,pp.791-805 2017 Academic journal
doi
7.Construction of Confidence Sets for the Break Date in Regression Models with Non-homogeneous Regressors
Journal of the Japan Statistical Society(Series J) Vol.46,No.1,pp.69-84 2016 Academic journal
ISSN 0389-5602
8.Synergy Between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests(jointly worked)
Manchester School Vol.83,No.6,pp.676-700 2015 Academic journal
ISSN 1463-6786
9.Improving the Finite Sample Performance of Tests for a Shift in Mean(jointly worked)
Journal of Statistical Planning and Inference Vol.167,pp.144-173 2015 Academic journal
ISSN 0378-3758HERMES-IR
10.Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed(jointly worked)
Econometrics Journal Vol.18,pp.363-411 2015 Academic journal
ISSN 1368-423X
11.Confidence Sets for the Break Date Based on Optimal Tests(jointly worked)
Econometrics Journal Vol.18,pp.412-435 2015 Academic journal
ISSN 1368-423X
12.Testing for Parameter Constancy in the Time Series Direction in Panel Data Models(jointly worked)
Journal of Statistical Computation and Simulation Vol.85,No.14,pp.2874-2902 2015 Academic journal
ISSN 0094-9655
13.Testing for Multiple Structural Changes with Non-Homogeneous Regressors
Journal of Time Series Econometrics Vol.7,No.1,pp.1-35 2015 Academic journal
ISSN 1941-1928
14.ESTIMATION AND INFERENCE IN PREDICTIVE REGRESSIONS(jointly worked)
Hitotsubashi Journal of Economics Vol.54,No.2,pp.231-250 2013 Bulletin of university, institute, etc.
ISSN 0018-280xHERMES-IR
15.Testing the Prebish-Singer Hypothesis Using Second Generation Panel Data Stationarity Tests with Break(jointly worked)
Economics Letters Vol.117,No.3,pp.814-816 2012 Academic journal
ISSN 0165-1765
16.Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small(jointly worked)
Economics Letters Vol.116,No.3,pp.465-468 2012 Academic journal
ISSN 0165-1765
17.Model Selection Criteria for the Leads-and-Lags Cointegrating Regression(jointly worked)
Journal of Econometrics Vol.169,No.2,pp.224-238 2012 Academic journal
ISSN 0304-4076
18.A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor(jointly worked)
Economics Letters Vol.115,No.1,pp.31-34 2012 Academic journal
ISSN 0165-1765
19.A Locally Optimal Test for No Unit Root in Cross-sectionally Dependent Panel Data(jointly worked)
Hitotsubashi Journal of Economics Vol.52,No.2,pp.165-184 2011 Bulletin of university, institute, etc.
ISSN 0018-280xHERMES-IR
20.Model Selection Criteria in Multivariate Models with Multiple Structural Changes(jointly worked)
Journal of Econometrics Vol.164,No.2,pp.218-238 2011 Academic journal
ISSN 0304-4076
21.Reducing the Size Distortion of the KPSS Test(jointly worked)
Journal of Time Series Analysis Vol.31,No.6,pp.415-426 2010 Academic journal
ISSN 0143-9782doi
22.Construction of Stationarity Tests with Less Size Distortions
Hitotsubashi Journal of Economics Vol.50,No.1,pp.87-105 2009 Bulletin of university, institute, etc.
ISSN 0018-280xHERMES-IR
23.Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors(jointly worked)
Journal of Econometrics Vol.149,No.2,pp.118-135 2009 Academic journal
ISSN 0304-4076
24.The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models(jointly worked)
Mathematics and Computers in Simulation Vol.79,No.3,pp.555-560 2008 Academic journal
ISSN 0378-4754
25.Test for the Null Hypothesis of Cointegration with Reduced Size Distortion(jointly worked)
Journal of Time Series Analysis Vol.29,No.3,pp.476-500 2008 Academic journal
ISSN 0143-9782doi
26.Variable Lag Augmentation in Regression Models wit Possibly Integrated Regressors: Some Experimental Results(jointly worked)
Hiroshima Economic Review Vol.31,No.1,pp.21-34 2007 Academic journal
ISSN 0386-2704
27.Efficient Estimation and Inference in Cointegrating Regressions with Structural Change(jointly worked)
Journal of Time Series Analysis Vol.28,No.4,pp.545-575 2007 Academic journal
ISSN 0143-9782
28.The Wald-Type Test of a Normalization of Cointegrating Vectors
Journal of the Japan Statistical Society Vol.37,No.2,pp.191-205 2007 Academic journal
ISSN 0389-5602Link
29.Testing for the Null Hypothesis of Cointegration with a Structural Break(jointly worked)
Econometric Reviews Vol.26,No.6,pp.705-739 2007 Academic journal
ISSN 0747-4938doi
30.Tests for Long-Run Granger Non-Causality in Cointegrated Systems(jointly worked)
Journal of Time Series Analysis Vol.27,No.5,pp.703-723 2006 Academic journal
ISSN 0143-9782
31.Equivalence of Two Expressions of the Impact Matrix(jointly worked)
Econometric Theory Vol.21,No.4,pp.870-875 2005 Academic journal
ISSN 0266-4666doiHERMES-IR
32.Detection of Structural Change in the Long-Run Persistence in a Univariate Time Series
Oxford Bulletin of Economics and Statistics Vol.67,No.2,pp.181-206 2005 Academic journal
ISSN 0140-5543
33.The Rank of a Sub-Matrix of Cointegration
Econometric theory Vol.21,No.2,pp.299-325 2005 Academic journal
ISSN 0266-4666doiHERMES-IR
34.Lag Augmentation in Regression Models with Possibly Integrated Regressors(jointly worked)
Hitotsubashi Journal of Economics Vol.46,No.2,pp.159-175 2005 Bulletin of university, institute, etc.
ISSN 0018-280xHERMES-IR
35.Some Properties of the Point Optimal Invariant Test for the Constancy of Parameters
Journal of the Japan Statistical Society Vol.33,No.2,pp.169-180 2003 Academic journal
ISSN 0389-5602Link
36.The Limiting Properties of the Canova-Hansen Test Under Local Alternatives
Econometric theory Vol.18,No.5,pp.1197-1220 2002 Academic journal
ISSN 0266-4666doiHERMES-IR
37.Testing for Stationarity with a Break
Journal of Econometrics Vol.108,No.1,pp.63-99 2002 Academic journal
ISSN 0304-4076
38.Testing for Periodic Stationarity
Econometric Reviews Vol.21,No.2,pp.243-270 2002 Academic journal
ISSN 0747-4938doi
39.Finite Sample Properties of the Test for Long-Run Granger Non-Causality in Cointegrated Systems(jointly worked)
Proceedings of International Congress on Modelling and Simulation 2001, Modelling and Simulation Society of Australia and New Zealand Inc., pp.1243-1248 2001 Academic journal
40.Modified Lag Augmented Vector Autoregressions(jointly worked)
Econometric Reviews Vol.19,No.2,pp.207-231 2000 Academic journal
ISSN 0747-4938
41.Essays on Testing for Stationarity Possibly with Seasonality and a Structural Change
Ph. D. Thesis submitted to Hitotsubashi University 2000 Other

Translation

1.Handbook of Statistics 30 Time Series Analysis: Methods and Applications(Translation)
2016
ISBN 9784254122114C3041

Other

1.Confidence Sets for the Date of a Mean Shift at the End of a Sample
Discussion Paper of Graduate School of Economics, Hitotsubashi University 2017 Bulletin of university, institute, etc.
2.The ET Interview: Professor Katsuto Tanaka(jointly worked)
Econometric Theory Vol.30,No.2,pp.474-490 2014 Academic journal
ISSN 0266-4666
3.Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data(jointly worked)
Global COE Hi-Stat Discussion Paper Series No.256 2012 Other
HERMES-IR
4.Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes(jointly worked)
Global COE Hi-Stat Discussion Paper Series No.187 2011 Other
HERMES-IR

Academic Award Received

NOAcademic AwardYear
1.The 9th Japan Statistical Society Achievement Award2015.06
2.The 22nd Ogawa Research Prize2008.09

Oral Presentation

NOName of subject/Conference NameYearSite
1.*Monitoring Parameter Constancy with Endogenous Regressors(Hiroshima Conference on Statistical Science 2016)
2016.12Hiroshima University, Japan
2.*Confidence Sets for the Break Date in Cointegrating Regressions(2016 Japan-Korea Allied Conference in Econometrics)
2016.11Hitotsubashi University, Japan
3.Monitoring Parameter Constancy with Endogenous Regressors(The 3rd Annual Conference of the International Association for Applied Econometrics)
2016.06University of Milano-Bicocca, Italy
4.Monitoring Parameter Constancy with Endogenous Regressors(12th International Symposium on Econometric Theory and Applications)
2016.02The University of Waikato, New Zealand
5.Monitoring Parameter Constancy with Endogenous Regressors(Kansai Keiryo Keizaigaku Kenkyukai)
2016.01The Unversity of Tokyo, Japan
6.Improving the Finite Sample Performance of Tests for a Shift in Mean(The Annual Conference of the International Association for Applied Econometrics)
2014.06Queen Mary University of London, UK
7.Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed(Asian Meeting of Econometric Society)
2014.06Academia Sinica, Taiwan
8.Testing for Parameter Constancy in the Time-Series Direction in Fixed-Effect Panel Data Models(EEA-ESEM Meeting 2013)
2013.08The University of Gothenberg, Sweden
9.Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data(Asian Meeting of Econometric Society)
2012.12University of Delhi, India
10.Testing for Multiple Structural Changes with Non-Homogeneous Regressors(2012 Hitotsubashi-Sogang Conference on Econometrics)
2012.11Sogang University,South Korea
11.Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data(Annual Conference of the African Econometric Society)
2012.07Kampala, Uganda
12.Testing for Multiple Structural Changes with Non-Homogeneous Regressors(The 2012 International Symposium on Econometric Theory and Applications)
2012.05Shanghai Jiao Tong University, Shanghai
13.Estimation and Inference in Predictive Regressions(Asian Meeting of Econometric Society)
2011.08Korea University
14.*Determining the Number of Structural Breaks in Vector Autoregressive Processes by Model Selection Criteria(IMS Asia Pacific RIM Meeting)
2009.07Seoul National University, South Korea
15.A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence(EEA-ESEM Meeting)
2008.08Università Commerciale Luigi Bocconi, Italia
16.A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence(New Zealand Econometric Study Group Meeting)
2008.03The University of Auckland, New Zealand
17.Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors(The Third Symposium on Econometric Theory and Applications)
2007.04The Hong Kong University of Science and Technology
18.Point Optimal Test for Cointegration With Unknown Variance-Covariance Matrix(Australasian Meeting of the Econometric Society)
2006.07Alice Springs, Australia

Scientific Research Funds Results

NOResearch subjectResearch itemYear
1.
Scientific Research (C)2016-2018
2.
Scientific Research (B)2013-2015
3.
Young Scientists (B)2006-2008
4.
Scientific Research (A)2011-2015
5.
Scientific Research (A)2012-2015
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