Kazuhiko Hayakawa

Hiroshima University

Japan

  • Hiroshima University

SCHOLARLY PAPERS

23

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32

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13

Scholarly Papers (23)

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1.

The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large

Number of pages: 59 Posted: 31 May 2009 Last Revised: 01 Feb 2014
Kazuhiko Hayakawa
Hiroshima University
Downloads 618 (84,325)
Citation 7

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2.

Improved GMM Estimation of Panel VAR Models

Number of pages: 30 Posted: 18 Sep 2013 Last Revised: 22 Mar 2015
Kazuhiko Hayakawa
Hiroshima University
Downloads 528 (102,868)

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panel VAR, GMM

3.

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models with Cross-Sectional Heteroskedasticity

Downloads 396 (144,470)
Citation 6

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models with Cross-Sectional Heteroskedasticity

Number of pages: 53 Posted: 29 Apr 2012 Last Revised: 22 Mar 2015
Kazuhiko Hayakawa and M. Hashem Pesaran
Hiroshima University and University of Southern California - Department of Economics
Downloads 271 (215,480)
Citation 3

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dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models

CESifo Working Paper Series No. 3850
Number of pages: 50 Posted: 30 Jun 2012
Kazuhiko Hayakawa and M. Hashem Pesaran
Hiroshima University and University of Southern California - Department of Economics
Downloads 67 (652,350)
Citation 1

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dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models

IZA Discussion Paper No. 6583
Number of pages: 51 Posted: 16 Jun 2012
Kazuhiko Hayakawa and M. Hashem Pesaran
Hiroshima University and University of Southern California - Department of Economics
Downloads 58 (702,468)

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dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation

4.

Short T Dynamic Panel Data Models with Individual, Time and Interactive Effects

Number of pages: 114 Posted: 12 Feb 2020 Last Revised: 06 Mar 2023
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 309 (189,104)
Citation 3

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short T dynamic panels, unobserved common factors, quasi maximum likelihood, interactive effects, multiple testing, sequential likelihood ratio tests, crime rate, growth regressions

5.

GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects

Number of pages: 16 Posted: 31 May 2009 Last Revised: 01 Dec 2012
Kazuhiko Hayakawa
Hiroshima University
Downloads 244 (240,466)

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6.

Alternative Over-identifying Restriction Tests in the GMM Estimation of Panel Data Models

Number of pages: 78 Posted: 15 Apr 2013 Last Revised: 29 Jul 2018
Kazuhiko Hayakawa
Hiroshima University
Downloads 224 (262,315)
Citation 1

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panel data; GMM; over-identification test; system of equations

7.

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

Downloads 208 (279,848)

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

CESifo Working Paper Series No. 4822
Number of pages: 42 Posted: 25 Jun 2014
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 128 (423,647)

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short T dynamic panels, transformed maximum likelihood, multi-factor error structure, interactive fixed effects

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

CAFE Research Paper No. 14.06
Number of pages: 42 Posted: 29 May 2014
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 80 (589,602)

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short T dynamic panels, transformed maximum likelihood, multi-factor error structure, interactive fixed effects

8.

On the Behavior of the GMM Estimator in Persistent Dynamic Panel Data Models with Unrestricted Initial Conditions

Number of pages: 41 Posted: 23 Feb 2012 Last Revised: 04 Apr 2016
Kazuhiko Hayakawa and Shuichi Nagata
Hiroshima University and Kwansei Gakuin University - School of Business Administration
Downloads 207 (281,068)
Citation 2

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dynamic panels, GMM, initial conditions, weak instruments

9.

Estimation of Time-Varying Coefficient Dynamic Panel Data Models

Number of pages: 10 Posted: 10 May 2017
Kazuhiko Hayakawa and Jie Hou
Hiroshima University and Hiroshima University
Downloads 182 (315,800)

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10.

A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity in linear models with interactive effects for large panel data

ISER DP No. 1037
Number of pages: 86 Posted: 07 Aug 2018 Last Revised: 27 Jan 2022
Guowei Cui, Kazuhiko Hayakawa, Shuichi Nagata and Takashi Yamagata
Huazhong University of Science and Technology, Hiroshima University, Kwansei Gakuin University - School of Business Administration and University of York - Department of Economics and Related Studies
Downloads 176 (325,397)
Citation 6

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panel data; slope heterogeneity; interactive effects; correlated random coefficients

11.

GMM and ML Estimation of Dynamic Panel Data Models with Heterogeneous Time Trends

Number of pages: 12 Posted: 10 May 2017
Kazuhiko Hayakawa and Bei Ge
Hiroshima University and Hiroshima University
Downloads 169 (337,315)
Citation 1

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12.

Double Filter Instrumental Variable Estimation of Panel Data Models with Weakly Exogenous Variables

Number of pages: 64 Posted: 10 May 2017 Last Revised: 30 Jul 2018
Kazuhiko Hayakawa, Meng Qi and Jörg Breitung
Hiroshima University, Hiroshima University and University of Cologne
Downloads 162 (349,764)
Citation 7

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GMM; panel data; weak exogeneity; dynamic panel

13.

Further Results on the Weak Instruments Problem of the System GMM Estimator in Dynamic Panel Data Models

Number of pages: 36 Posted: 10 May 2017
Kazuhiko Hayakawa and Meng Qi
Hiroshima University and Hiroshima University
Downloads 161 (351,605)
Citation 5

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14.

A Unit Root Test for Micro Panels with Serially Correlated Errors

Number of pages: 23 Posted: 03 Feb 2010 Last Revised: 21 Feb 2012
Kazuhiko Hayakawa
Hiroshima University
Downloads 150 (372,824)

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panel data, unit root, serial correlation

15.

Linear Panel Regression Models with Non-Classical Measurement Errors: An Application to Investment Equations

Number of pages: 110 Posted: 22 Jul 2022 Last Revised: 31 Aug 2022
Kazuhiko Hayakawa and Takashi Yamagata
Hiroshima University and University of York - Department of Economics and Related Studies
Downloads 116 (454,917)

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panel data; measurement error; covariance structure analysis; investment equation

16.

Identification Problem of GMM Estimators for Short Panel Data Models with Interactive Fixed Effects

Number of pages: 19 Posted: 11 Nov 2015
Kazuhiko Hayakawa
Hiroshima University
Downloads 107 (482,758)

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panel data; identification; GMM; interactive fixed effects

17.

The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models: Some Additional Results

Number of pages: 26 Posted: 31 May 2009 Last Revised: 21 Feb 2012
Kazuhiko Hayakawa
Hiroshima University
Downloads 100 (506,357)
Citation 2

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18.

The Weak Instruments Problem in Factor Models

Number of pages: 26 Posted: 10 May 2017
Kazuhiko Hayakawa
Hiroshima University
Downloads 96 (520,141)
Citation 2

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factor model; two-stage least squares; weak instruments

19.

On the Effect of Weighting Matrix in GMM Specification Test

Number of pages: 21 Posted: 30 Nov 2015 Last Revised: 06 May 2016
Kazuhiko Hayakawa
Hiroshima University
Downloads 91 (538,335)

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20.

Instrumental Variable Estimation of Factor Models with Possibly Many Variables

Number of pages: 20 Posted: 10 May 2017
Kazuhiko Hayakawa and Qi Sun
Hiroshima University and Hiroshima University
Downloads 87 (553,578)

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21.

Corrected Goodness-of-Fit Test in Covariance Structure Analysis

Number of pages: 36 Posted: 10 May 2017 Last Revised: 21 Nov 2017
Kazuhiko Hayakawa
Hiroshima University
Downloads 82 (573,723)

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22.

Selection of Loss Function in Covariance Structure Analysis: Case of the Spherical Model

Number of pages: 34 Posted: 18 Nov 2021
Kazuhiko Hayakawa
Hiroshima University
Downloads 24 (941,502)

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covariance structure analysis; structural equation modeling; factor analysis, spherical model; high-dimensional framework; LR test

23.

Corrected Standard Errors for Optimal Minimum Distance Estimator

Posted: 10 May 2017
Kazuhiko Hayakawa
Hiroshima University

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