Kaiji Motegi

Kobe University - Graduate School of Economics

2-1, Rokkodai

Nada-Ku

Kobe, Hyogo, 657-8501

Japan

SCHOLARLY PAPERS

16

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1,104

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12

CROSSREF CITATIONS

19

Scholarly Papers (16)

1.

Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality

Number of pages: 38 Posted: 12 Jun 2015 Last Revised: 11 Nov 2019
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 240 (162,980)
Citation 7

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dimension reduction, Granger causality test, max test, Mixed Data Sampling (MIDAS), parsimonious regression models

Testing for Granger Causality with Mixed Frequency Data

Number of pages: 58 Posted: 14 Jul 2014 Last Revised: 14 Jul 2015
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 237 (164,461)
Citation 3

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Granger causality test, Local asymptotic power, Mixed Data Sampling (MIDAS), Temporal aggregation, Vector autoregression (VAR)

Testing for Granger Causality with Mixed Frequency Data

Number of pages: 44 Posted: 24 Sep 2013
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 0
Citation 2
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Granger causality, mixed data sampling (MIDAS), temporal aggression, vector autoregression (VAR)

3.

Testing the White Noise Hypothesis of Stock Returns

Number of pages: 25 Posted: 18 Jul 2017 Last Revised: 07 Aug 2018
Jonathan B. Hill and Kaiji Motegi
University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 176 (216,734)
Citation 1

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Blockwise wild bootstrap, Randomized block size, Serial correlation, Weak form efficiency, White noise test.

4.

Sluggish Private Investment in Japan's Lost Decade: Mixed Frequency Vector Autoregression Approach

Number of pages: 25 Posted: 02 Dec 2014 Last Revised: 18 Oct 2017
Kaiji Motegi and Akira Sadahiro
Kobe University - Graduate School of Economics and Faculty of Political Science and Economics, Waseda University
Downloads 97 (340,182)
Citation 1

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Japan's Lost Decade, Mixed Data Sampling (MIDAS), mixed frequency vector autoregression (MF-VAR), private investment

5.

Testing for Money Illusion Hypothesis in Aggregate Consumption Function: Mixed Data Sampling Approach

Number of pages: 6 Posted: 26 Oct 2015 Last Revised: 28 Nov 2015
Kaiji Motegi and Akira Sadahiro
Kobe University - Graduate School of Economics and Faculty of Political Science and Economics, Waseda University
Downloads 56 (461,504)
Citation 1

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Consumption function, Hypothesis testing, Money illusion, Mixed Data Sampling (MIDAS), Temporal aggregation.

6.

A Max-Correlation White Noise Test for Weakly Dependent Time Series

Number of pages: 49 Posted: 14 Feb 2016 Last Revised: 12 Aug 2019
Jonathan B. Hill and Kaiji Motegi
University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 52 (476,999)
Citation 2

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dependent wild bootstrap, maximum correlation, near epoch dependence, white noise test

7.

Calibration Estimation of Semiparametric Copula Models with Data Missing at Random

Number of pages: 51 Posted: 05 Sep 2017 Last Revised: 08 Dec 2018
Shigeyuki Hamori, Kaiji Motegi and Zheng Zhang
Kobe University, Japan, Kobe University - Graduate School of Economics and Renmin University of China - Institute of Statistics and Big Data
Downloads 43 (520,481)
Citation 2

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calibration estimation, covariate balancing, missing at random (MAR), semiparametric copula model

8.

Copula-Based Regression Models With Data Missing at Random

Number of pages: 46 Posted: 10 Jul 2019 Last Revised: 23 Mar 2020
Shigeyuki Hamori, Kaiji Motegi and Zheng Zhang
Kobe University, Japan, Kobe University - Graduate School of Economics and Renmin University of China - Institute of Statistics and Big Data
Downloads 41 (525,189)

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calibration estimation, generalized regression model, missing at random, semiparametric copula

9.

Systemic Risk and Macroeconomic Shocks: Evidence From US Agricultural Commodity Markets

Number of pages: 40 Posted: 27 Nov 2018
Lu Yang, Kaiji Motegi and Shigeyuki Hamori
Zhongnan University of Economics and Law - School of Finance, Kobe University - Graduate School of Economics and Kobe University, Japan
Downloads 39 (534,884)

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Conditional Value-at-Risk (CoVaR), Macroeconomic Shock, Mixed Data Sampling (MIDAS), Quantile Regression, Systemic Risk, Wavelet Transform

10.

Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models

Number of pages: 15 Posted: 26 Jul 2019 Last Revised: 18 Jan 2020
Kobe University - Graduate School of Economics, Graduate School of Humanities and Sciences, Okayama University, Kobe University, Japan and Department of Statistics, School of Economics, Xiamen University and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
Downloads 25 (614,574)
Citation 2

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heterogeneous autoregression (HAR), model selection, out-of-sample forecast, threshold autoregression (TAR), time series analysis

11.

A note on spurious regression and random walks with zero, local, or constant drifts

Number of pages: 15 Posted: 29 May 2019 Last Revised: 10 Nov 2020
Jay Dennis and Kaiji Motegi
Institute for Defense Analyses and Kobe University - Graduate School of Economics
Downloads 22 (635,388)

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bimodal distribution, non-stationary time series, random walk with drift, spurious regression, Type I Error

12.

Vector Moving Average Threshold Heterogeneous Autoregressive (VMAT-HAR) Model

Number of pages: 26 Posted: 27 Mar 2020
Kaiji Motegi and Shigeyuki Hamori
Kobe University - Graduate School of Economics and Kobe University, Japan
Downloads 21 (642,447)

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Granger causality test, multivariate time series analysis, realized volatility, threshold autoregression (TAR), vector heterogeneous autoregression (VHAR)

13.

Systemic Risk and Macroeconomic Shocks: Evidence From the Crude Oil Market and G7 Countries

Number of pages: 56 Posted: 27 Nov 2018
Lu Yang, Kaiji Motegi and Shigeyuki Hamori
Zhongnan University of Economics and Law - School of Finance, Kobe University - Graduate School of Economics and Kobe University, Japan
Downloads 20 (649,525)

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Conditional Value-at-Risk (CoVaR), Macroeconomic Shock, Mixed Data Sampling (MIDAS), Quantile Regression, Systemic Risk, Wavelet Transform

14.

Regional Interdependence of the Japan REIT Market: A Heteroscedasticity-Robust Time Series Approach

Number of pages: 28 Posted: 07 Sep 2021 Last Revised: 08 Sep 2021
Kaiji Motegi and Yoshitaka Iitsuka
Kobe University - Graduate School of Economics and Kobe University - Graduate School of Economics
Downloads 16 (678,475)

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Conditional heteroscedasticity, COVID-19, Geographic diversification, Real estate investment trust (REIT), Tokyo Stock Exchange (TSE), Vector autoregression (VAR)

15.

A Note on the Exponentiation Approximation of the Birthday Paradox

Number of pages: 12 Posted: 08 Jul 2021 Last Revised: 11 Sep 2021
Kaiji Motegi and Sejun Woo
Kobe University - Graduate School of Economics and Kobe University - Department of Economics
Downloads 13 (701,504)

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birthday problem, collision, pairwise approach, permutation approach, probability

16.

Conditional Threshold Autoregression (CoTAR)

Number of pages: 37 Posted: 18 Nov 2021
Kaiji Motegi, Jay Dennis and Shigeyuki Hamori
Kobe University - Graduate School of Economics, Institute for Defense Analyses and Kobe University, Japan
Downloads 6 (756,895)

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COVID-19, Nonlinear time series analysis, Profiling estimation, Regime switch, Self-exciting threshold autoregression (SETAR), Wild bootstrap