Atsushi Inoue

Southern Methodist University

Dr

Dallas, TX 75275

United States

SCHOLARLY PAPERS

23

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4,770

SSRN CITATIONS
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SSRN RANKINGS

Top 1,422

in Total Papers Citations

193

CROSSREF CITATIONS

688

Scholarly Papers (23)

1.

Testing, Comparing, and Combining Value-at-Risk Measures

Number of pages: 27 Posted: 16 Nov 1999
Peter Christoffersen, Jinyong Hahn and Atsushi Inoue
University of Toronto - Rotman School of Management, University of California, Los Angeles and Southern Methodist University
Downloads 2,513 (6,926)
Citation 8

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In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Number of pages: 43 Posted: 27 Feb 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 791 (39,554)

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Predictability test, data mining, structural change, out-of-sample inference

In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Number of pages: 34 Posted: 15 Jan 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (694,360)
Citation 31
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Data mining, parameter instability, predictability test, reliability of inference

3.

Long Memory and Structural Change

Number of pages: 41 Posted: 02 May 2001
Francis X. Diebold and Atsushi Inoue
University of Pennsylvania - Department of Economics and Southern Methodist University
Downloads 273 (143,341)
Citation 2

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4.
Downloads 256 (152,898)
Citation 25

On the Selection of Forecasting Models

Number of pages: 60 Posted: 15 Mar 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 239 (163,032)

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Model selection, Forecast accuracy, Structural change, Information criteria, Simulated out-of-sample method

On the Selection of Forecasting Models

Number of pages: 51 Posted: 29 Apr 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (694,360)
Citation 1
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Forecast accuracy, model selection, structural change, information criteria, simulated out-of-sample method

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

FRB of Atlanta Working Paper No. 2007-10a
Number of pages: 41 Posted: 25 May 2007 Last Revised: 06 Jul 2014
North Carolina State University - Department of Economics, Southern Methodist University, North Carolina State University - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 119 (297,303)
Citation 16

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impulse response function, matching estimator, redundant selection criterion

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

Economic Research Initiatives at Duke (ERID) Working Paper No. 29
Number of pages: 53 Posted: 13 Nov 2009 Last Revised: 06 Jul 2014
North Carolina State University - Department of Economics, Southern Methodist University, North Carolina State University - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 96 (344,868)
Citation 4

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6.

Out-of-Sample Forecast Tests Robust to the Window Size Choice

Economic Research Initiatives at Duke Working Paper No. 94
Number of pages: 48 Posted: 29 Mar 2011
Barbara Rossi and Atsushi Inoue
Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI) and Southern Methodist University
Downloads 209 (185,763)
Citation 1

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Predictive Ability Testing, Forecast Evaluation, Estimation Window

7.

Tests for Parameter Instability in Dynamic Factor Models

Number of pages: 67 Posted: 23 Aug 2013 Last Revised: 13 Mar 2014
Xu Han and Atsushi Inoue
City University of Hong Kong (CityU) - Department of Economics & Finance and Southern Methodist University
Downloads 116 (301,257)
Citation 11

Abstract:

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factor models, structural break

8.

Testing for Weak Identification in Possibly Nonlinear Models

Economic Research Initiatives at Duke (ERID) Working Paper No. 90
Number of pages: 49 Posted: 25 Jan 2011
Barbara Rossi and Atsushi Inoue
affiliation not provided to SSRN and Southern Methodist University
Downloads 68 (419,024)
Citation 2

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GMM, Shrinkage, Weak Identification

9.

Two-Sample Instrumental Variables Estimators

Number of pages: 19 Posted: 06 Jul 2005 Last Revised: 08 Nov 2021
Atsushi Inoue and Gary Solon
Southern Methodist University and University of Arizona
Downloads 57 (457,631)
Citation 16

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10.

Zero Lower Bound and Parameter Bias in an Estimated DSGE Model

CAMA Working Paper Series 60/2013
Number of pages: 35 Posted: 31 Aug 2013
Yasuo Hirose and Atsushi Inoue
Faculty of Economics, Keio University and Southern Methodist University
Downloads 51 (480,885)
Citation 5

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Zero lower bound, DSGE model, Parameter bias, Bayesian estimation

11.

Long Memory and Regime Switching

Number of pages: 46 Posted: 18 Nov 2000 Last Revised: 23 Sep 2021
Francis X. Diebold and Atsushi Inoue
University of Pennsylvania - Department of Economics and Southern Methodist University
Downloads 46 (502,236)
Citation 9

Abstract:

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12.

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

Number of pages: 64 Posted: 09 Aug 2011
Barbara Rossi and Atsushi Inoue
Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI) and Southern Methodist University
Downloads 42 (520,304)
Citation 21

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Predictive Ability Testing, Forecast Evaluation, Estimation Window

13.

A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

Number of pages: 21 Posted: 06 Jul 2005 Last Revised: 09 May 2021
Atsushi Inoue and Gary Solon
Southern Methodist University and University of Arizona
Downloads 28 (595,046)
Citation 1

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14.

Bagging Time Series Models

Number of pages: 39 Posted: 05 May 2004
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 25 (614,364)
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Bootstrap aggregation, forecasting, model selection, pre-testing

15.

How Useful is Bagging in Forecasting Economic Time Series? A Case Study of Us CPI Inflation

Number of pages: 37 Posted: 30 Dec 2005
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 23 (628,127)
Citation 12
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Bootstrap aggregation, Bayesian model averaging, forecast combination, factor models, shrinkage estimation, forecast model selection, pre-testing

16.

Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data

Number of pages: 43 Posted: 09 Oct 2006
Atsushi Inoue, Lutz Kilian and Fatma Burcu Kiraz
Southern Methodist University, Federal Reserve Banks - Federal Reserve Bank of Dallas and North Carolina State University - Department of Agricultural & Resource Economics
Downloads 19 (656,507)
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Inflation expectations, consumer expenditure survey, Michigan survey of consumers, survey of professional forecasters, Euler equation

17.

Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (Infinity) Models

Number of pages: 24 Posted: 16 May 2002
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 11 (716,982)
Citation 1
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18.

Inference on Impulse Response Functions in Structural VAR Models

Number of pages: 41 Posted: 16 Jun 2011
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 7 (748,685)
Citation 30
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Credible Set, Impulse responses, Median, Mode, Sign restrictions, Simultaneous inference, Vector autoregression

19.

Frequentist Inference in Weakly Identified DSGE Models

Number of pages: 47 Posted: 07 Oct 2009
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 3 (779,969)
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Bayes factor, Bayesian estimation, Confidence set, DSGE models, Identification, Inference, Likelihood ratio

20.

Joint Confidence Sets for Structural Impulse Responses

Number of pages: 44 Posted: 02 Jun 2014
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0 (818,233)
Citation 6
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Bootstrap, Confidence regions, Degenerate limiting distribution, Impulse response shapes, Joint inference, Shotgun plots

21.

Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models

International Economic Review, Vol. 43, Issue 2, pp. 309-331, 2002
Number of pages: 24 Posted: 30 Nov 2013
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0 (818,233)
Citation 4
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22.

Heterogeneous Consumers and Fiscal Policy Shocks

Number of pages: 57 Posted: 09 Sep 2013
Emily Anderson, Atsushi Inoue and Barbara Rossi
Duke University, Southern Methodist University and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 0 (818,233)
Citation 4
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Fiscal policy, Government spending shocks, Heterogeneity, Tax shocks

23.

Bootstrapping Autoregressive Processes with Possible Unit Roots

Posted: 15 May 2002
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas

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