Eiji Kurozumi

Hitotsubashi University - Faculty of Economics

Tokyo, 186-8601

Japan

  • Hitotsubashi University - Faculty of Economics

SCHOLARLY PAPERS

11

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68

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3

CROSSREF CITATIONS

14

Scholarly Papers (11)

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1.

On the Asymptotic Behavior of Bubble Date Estimators

Number of pages: 80 Posted: 11 Oct 2021 Last Revised: 24 Feb 2022
Eiji Kurozumi and Anton Skrobotov
Hitotsubashi University - Faculty of Economics and Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 16 (734,677)

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rational bubble, change points, explosive autoregression, time-varying volatility, right-tailed unit root testing, mildly explosive, mildly integrated

2.

Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility

Number of pages: 31 Posted: 27 Feb 2021 Last Revised: 15 Nov 2021
Eiji Kurozumi, Anton Skrobotov and Alexey Tsarev
Hitotsubashi University - Faculty of Economics, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics and affiliation not provided to SSRN
Downloads 14 (752,405)
Citation 1

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Rational bubble, Explosive autoregression, Time-varying volatility, Right-tailed unit root testing, Variance profile, Time-transformed data

3.

Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Journal of Time Series Analysis, Vol. 27, No. 5, pp. 703-723, September 2006
Number of pages: 21 Posted: 22 Mar 2007
Taku Yamamoto and Eiji Kurozumi
Hitotsubashi University - Faculty of Economics and Hitotsubashi University - Faculty of Economics
Downloads 11 (780,300)
Citation 1

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4.

Detection of Structural Change in the Long-Run Persistence in a Univariate Time Series

Number of pages: 26 Posted: 14 Mar 2005
Eiji Kurozumi
Hitotsubashi University - Faculty of Economics
Downloads 9 (799,737)

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5.

Efficient Estimation and Inference in Cointegrating Regressions with Structural Change

Journal of Time Series Analysis, Vol. 28, No. 4, pp. 545-575, July 2007
Number of pages: 31 Posted: 18 Jun 2007
Eiji Kurozumi and Yoichi Arai
Hitotsubashi University - Faculty of Economics and National Graduate Institute for Policy Studies (GRIPS)
Downloads 8 (809,827)

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6.

Reducing the Size Distortion of the KPSS Test

Journal of Time Series Analysis, Vol. 31, Issue 6, pp. 415-426, November 2010
Number of pages: 12 Posted: 12 Oct 2010
Eiji Kurozumi and Shinya Tanaka
Hitotsubashi University - Faculty of Economics and affiliation not provided to SSRN
Downloads 5 (840,749)
Citation 1

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7.

Test for the Null Hypothesis of Cointegration with Reduced Size Distortion

Journal of Time Series Analysis, Vol. 29, Issue 3, pp. 476-500, May 2008
Number of pages: 25 Posted: 22 Apr 2008
Eiji Kurozumi and Yoichi Arai
Hitotsubashi University - Faculty of Economics and National Graduate Institute for Policy Studies (GRIPS)
Downloads 3 (863,674)

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8.

Confidence Sets for the Break Date in Cointegrating Regressions

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 3, pp. 514-535, 2018
Number of pages: 22 Posted: 08 May 2018
Eiji Kurozumi and Anton Skrobotov
Hitotsubashi University - Faculty of Economics and Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 1 (891,007)
Citation 1

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9.

Synergy between an Improved Covariate Unit Root Test and Cross‐Sectionally Dependent Panel Data Unit Root Tests

The Manchester School, Vol. 83, Issue 6, pp. 676-700, 2015
Number of pages: 25 Posted: 28 Sep 2015
Kaddour Hadri, Eiji Kurozumi and Daisuke Yamazaki
Queen's University Belfast, Hitotsubashi University - Faculty of Economics and Hitotsubashi University
Downloads 1 (891,007)

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10.

Confidence Sets for the Date of a Structural Change at the End of a Sample

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 850-862, 2018
Number of pages: 13 Posted: 07 Oct 2018
Eiji Kurozumi
Hitotsubashi University - Faculty of Economics
Downloads 0 (907,776)

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Structural change, coverage rate, subsampling method

11.

Monitoring Parameter Constancy with Endogenous Regressors

Journal of Time Series Analysis, Vol. 38, Issue 5, pp. 791-805, 2017
Number of pages: 15 Posted: 21 Aug 2017
Eiji Kurozumi
Hitotsubashi University - Faculty of Economics
Downloads 0 (907,776)

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Structural change, CUSUM test, instrumental variable, Phillips curve