Takashi Yamagata

University of Cambridge - Faculty of Economics and Politics

Austin Robinson Building

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

981

SSRN CITATIONS
Rank 6,834

SSRN RANKINGS

Top 6,834

in Total Papers Citations

53

CROSSREF CITATIONS

142

Scholarly Papers (7)

1.
Downloads 174 ( 47,803)
Citation 10

Testing CAPM with a Large Number of Assets

IZA Discussion Paper No. 6469
Number of pages: 55 Posted: 14 Apr 2012
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 174 (211,033)

Abstract:

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CAPM, testing for alpha, market efficiency, long/short equity returns, large panels, weak and strong cross-sectional dependence

2.

A Spatio-Temporal Model of House Prices in the Us

IZA Discussion Paper No. 2338, CESifo Working Paper Series No. 1826, IEPR Working Paper No. 07.16
Number of pages: 31 Posted: 15 Oct 2006
Sean Holly, M. Hashem Pesaran and Takashi Yamagata
University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 238 (158,204)
Citation 29

Abstract:

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house price, cross sectional dependence, spatial dependence

3.

Testing Slope Homogeneity in Large Panels

Number of pages: 46 Posted: 08 Mar 2005
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 201 (185,705)
Citation 13

Abstract:

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Testing Slope Homogeneity, Hausman Type Tests, Cross Section ispersion Tests, Monte Carlo Results, PSID Earnings Dynamics

Spatial and Temporal Diffusion of House Prices in the UK

IZA Discussion Paper No. 4694
Number of pages: 42 Posted: 01 Feb 2010
Sean Holly, M. Hashem Pesaran and Takashi Yamagata
University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 47 (489,861)
Citation 4

Abstract:

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house prices, cross sectional dependence, spatial dependence

5.

Panels with Nonstationary Multifactor Error Structures

IZA Discussion Paper No. 2243, CESifo Working Paper Series No. 1788, IEPR Working Paper No. 06.62
Number of pages: 34 Posted: 17 Aug 2006
George Kapetanios, M. Hashem Pesaran and Takashi Yamagata
King's College, London, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 126 (273,970)
Citation 3

Abstract:

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cross section dependence, large panels, unit roots, principal components

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

CESifo Working Paper No. 2193
Number of pages: 59 Posted: 23 Jan 2008
M. Hashem Pesaran, L. Vanessa Smith and Takashi Yamagata
University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and University of Cambridge - Faculty of Economics and Politics
Downloads 86 (357,222)

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panel unit root tests, cross section dependence, multi-factor residual structure, Fisher inflation parity, real equity prices

7.

Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures

CESifo Working Paper Series No. 1704
Number of pages: 21 Posted: 11 May 2006
University of Southern California - Department of Economics, Birkbeck College, University of Cambridge - Faculty of Economics and Politics and Ludwig Maximilian University of Munich (LMU) - Munich Graduate School of Economics (MGSE)
Downloads 109 (303,768)
Citation 1

Abstract:

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purchasing power parity, panel data, pairwise approach, cross section dependence