Atsushi Inoue

Southern Methodist University

Dr

Dallas, TX 75275

United States

SCHOLARLY PAPERS

25

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CITATIONS
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in Total Papers Citations

554

Scholarly Papers (25)

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, affiliation not provided to SSRN and Southern Methodist University
Downloads 2,481 (4,968)
Citation 5

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

ECB Working Paper No. 195
Number of pages: 43 Posted: 27 Feb 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 752 (31,707)

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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?

CEPR Discussion Paper No. 3671
Number of pages: 34 Posted: 15 Jan 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 17 (556,701)
Citation 9
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Data mining, parameter instability, predictability test, reliability of inference

3.

Long Memory and Structural Change

PIER Working Paper No. 01-006
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 267 (113,532)

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4.
Downloads 241 (126,190)
Citation 24

On the Selection of Forecasting Models

ECB Working Paper No. 214
Number of pages: 60 Posted: 15 Mar 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 224 (135,202)

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

On the Selection of Forecasting Models

CEPR Discussion Paper No. 3809
Number of pages: 51 Posted: 29 Apr 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 17 (556,701)
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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 111 (246,571)
Citation 17

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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 93 (278,672)

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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 195 (154,642)
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 (CityUHK) - Department of Economics & Finance and Southern Methodist University
Downloads 101 (262,005)
Citation 1

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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 63 (346,377)

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GMM, Shrinkage, Weak Identification

9.

Two-Sample Instrumental Variables Estimators

NBER Working Paper No. t0311
Number of pages: 19 Posted: 06 Jul 2005
Atsushi Inoue and Gary Solon
Southern Methodist University and University of Arizona
Downloads 48 (393,236)
Citation 3

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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 47 (396,638)

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

11.
Downloads 44 (407,306)
Citation 10

Frequentist Inference in Weakly Identified DSGE Models

FRB of Philadelphia Working Paper No. 09-13
Number of pages: 42 Posted: 10 Aug 2009 Last Revised: 09 Oct 2009
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 41 (427,094)
Citation 6

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DSGE models, Bayesian estimation, identification, inference, confidence sets, Bayes factor

Frequentist Inference in Weakly Identified DSGE Models

CEPR Discussion Paper No. DP7447
Number of pages: 47 Posted: 07 Oct 2009
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 3 (655,777)
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Bayes factor, Bayesian estimation, Confidence set, DSGE models, Identification, Inference, Likelihood ratio

12.

Long Memory and Regime Switching

NBER Working Paper No. t0264
Number of pages: 46 Posted: 18 Nov 2000 Last Revised: 23 Sep 2010
Francis X. Diebold and Atsushi Inoue
University of Pennsylvania - Department of Economics and Southern Methodist University
Downloads 41 (418,470)
Citation 4

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13.

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

FRB of Philadelphia Working Paper No. 11-31
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 33 (451,201)
Citation 7

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Predictive Ability Testing, Forecast Evaluation, Estimation Window

14.

A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

NBER Working Paper No. t0310
Number of pages: 21 Posted: 06 Jul 2005
Atsushi Inoue and Gary Solon
Southern Methodist University and University of Arizona
Downloads 25 (490,852)

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15.

Bagging Time Series Models

CEPR Discussion Paper No. 4333
Number of pages: 39 Posted: 05 May 2004
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 25 (490,852)
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Bootstrap aggregation, forecasting, model selection, pre-testing

16.

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

CEPR Discussion Paper No. 5304
Number of pages: 37 Posted: 30 Dec 2005
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 23 (501,923)
Citation 6
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Bootstrap aggregation, Bayesian model averaging, forecast combination, factor models, shrinkage estimation, forecast model selection, pre-testing

17.

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

CEPR Discussion Paper No. 5790
Number of pages: 43 Posted: 09 Oct 2006
Atsushi Inoue, Lutz Kilian and Fatma Burcu Kiraz
Southern Methodist University, University of Michigan at Ann Arbor - Department of Economics and North Carolina State University - Department of Agricultural & Resource Economics
Downloads 19 (525,235)
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Inflation expectations, consumer expenditure survey, Michigan survey of consumers, survey of professional forecasters, Euler equation

18.

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

International Economic Review, Vol. 43, pp. 309-332, 2002
Number of pages: 24 Posted: 16 May 2002
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 11 (573,033)
Citation 1
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19.

A Bootstrap Approach to Moment Selection

Econometrics Journal, Vol. 9, No. 1, pp. 48-75, March 2006
Number of pages: 28 Posted: 08 May 2006
Atsushi Inoue
Southern Methodist University
Downloads 10 (579,335)
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20.

Inference on Impulse Response Functions in Structural VAR Models

CEPR Discussion Paper No. DP8419
Number of pages: 41 Posted: 16 Jun 2011
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 7 (598,403)
Citation 3
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Credible Set, Impulse responses, Median, Mode, Sign restrictions, Simultaneous inference, Vector autoregression

21.

Joint Confidence Sets for Structural Impulse Responses

CEPR Discussion Paper No. DP9892
Number of pages: 44 Posted: 02 Jun 2014
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
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Bootstrap, Confidence regions, Degenerate limiting distribution, Impulse response shapes, Joint inference, Shotgun plots

22.

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 University of Michigan at Ann Arbor - Department of Economics
Downloads 0 (667,153)
Citation 1
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23.

Heterogeneous Consumers and Fiscal Policy Shocks

CEPR Discussion Paper No. DP9631
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 (667,153)
Citation 2
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Fiscal policy, Government spending shocks, Heterogeneity, Tax shocks

24.

Mean‐Plus‐Noise Factor Models: An Empirical Exploration

Japanese Economic Review, Vol. 63, Issue 3, pp. 289-309, 2012
Number of pages: 21 Posted: 30 Aug 2012
Atsushi Inoue
Southern Methodist University
Downloads 0 (667,153)
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25.

Bootstrapping Autoregressive Processes with Possible Unit Roots

Econometrica, Vol. 70, pp. 377-391, 2002
Posted: 15 May 2002
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics

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