Daisuke Nagakura

Keio University - Faculty of Economics

2-15-45 Mita, Ninato-ku

Tokyo 1088345

Japan

SCHOLARLY PAPERS

19

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8

CROSSREF CITATIONS

8

Scholarly Papers (19)

Testing the Sequential Logit Model Against the Nested Logit Model

Number of pages: 22 Posted: 16 Jan 2007 Last Revised: 28 Oct 2007
Daisuke Nagakura and Masahito Kobayashi
Keio University - Faculty of Economics and Yokohama National University - Department of Economics
Downloads 519 (77,053)
Citation 1

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Sequential Logit, Nested Logit, Discrete choice

Testing the Sequential Logit Model Against the Nested Logit Model

Japanese Economic Review, Forthcoming
Posted: 21 Feb 2008
Daisuke Nagakura and Masahito Kobayashi
Keio University - Faculty of Economics and Yokohama National University - Department of Economics

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Sequential Logit, Nested Logit, Discrete choice

2.

A Note on How to Impose Stationarity and Invertibility Conditions in ARMA Model Estimation: A Review

Number of pages: 5 Posted: 03 Sep 2008 Last Revised: 27 Apr 2009
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 343 (125,798)

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ARMA model, stationarity condition, invertibility condition, unconstraint optimization

3.

Computing Exact Score Vectors for Linear Gaussian State Space Models

Number of pages: 13 Posted: 05 Jul 2010 Last Revised: 23 Apr 2019
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 192 (222,803)
Citation 1

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recursive formula, state space model, score vector, score test, initial condition

4.

A Note on the Relationship between the Information Matrix Test and a Score Test for Parameter Constancy

Number of pages: 8 Posted: 12 Oct 2006
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 158 (263,001)

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Information Matrix Test, Score Test, Random Parameter Model, Parameter Constancy

5.

Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process

Journal of Statistical Planning and Inference, Vol. 139, pp. 2731 -2745, 2009
Number of pages: 40 Posted: 30 Mar 2007 Last Revised: 11 Nov 2009
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 135 (298,012)

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Random Coefficient Autoregressive Model, Coefficient Stability, Locally Best Invariant Test

6.

On the Relationship between the Matrix Operators, Vech and Vecd

Number of pages: 20 Posted: 18 Feb 2017 Last Revised: 27 Aug 2017
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 122 (321,241)
Citation 1

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vech; vecd; symmetric matrix; orthogonal matrix; permutation matrix matrix; Wald test

7.

Inference on the Correlation between Permanent and Transitory Shocks for Unidentified Unobserved Components Models

Number of pages: 20 Posted: 23 Apr 2007 Last Revised: 19 Feb 2009
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 93 (385,388)
Citation 1

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Unobserved components model, Trend, Cycle, Business Cycle, Correlated Components

8.
Downloads 91 (390,727)
Citation 2

Asymmetry in Government Bond Returns

CAMA Working Paper No. 12/2013
Number of pages: 29 Posted: 21 Feb 2013
Ippei Fujiwara, Lena Koerber and Daisuke Nagakura
Australian National University (ANU) - Crawford School of Public Policy, London School of Economics & Political Science (LSE) and Keio University - Faculty of Economics
Downloads 60 (498,373)
Citation 1

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Government Bond Returns, Skewness, Conditional Symmetry Test

Asymmetry in Government Bond Returns

Crawford School Research Paper No. 01/2013
Number of pages: 28 Posted: 20 Jul 2017
Ippei Fujiwara, Lena Korber and Daisuke Nagakura
Australian National University (ANU) - Crawford School of Public Policy, London School of Economics & Political Science (LSE) - London School of Economics and Keio University - Faculty of Economics
Downloads 17 (765,149)

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Government bond returns, skewness, conditional symmetry test

Asymmetry in Government Bond Returns

Journal of Banking and Finance, Vol. 37, No. 8, 2013, AJRC Working Papers No. 01/ 2013
Number of pages: 28 Posted: 26 Jul 2017
Ippei Fujiwara, Lena Korber and Daisuke Nagakura
Australian National University (ANU) - Crawford School of Public Policy, London School of Economics & Political Science (LSE) - London School of Economics and Keio University - Faculty of Economics
Downloads 14 (794,525)
Citation 1

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Government Bond Returns, Skewness, Conditional Symmetry Test

9.

A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component

Number of pages: 58 Posted: 01 Mar 2009 Last Revised: 07 Jan 2010
Daisuke Nagakura and Toshiaki Watanabe
Keio University - Faculty of Economics and Hitotsubashi University - Institute of Economic Research
Downloads 84 (410,131)
Citation 1

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realized variance, integrated variance, microstructure noise, state space, identification, exchange rate

10.

Testing for Symmetry of Distribution

Number of pages: 8 Posted: 07 Aug 2011 Last Revised: 30 Oct 2011
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 77 (431,405)

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Symmetry, Skewness, Outlier, Robust

11.

Testing for Random Coefficient Autoregressive and Stochastic Unit Root Models

Number of pages: 18 Posted: 22 Apr 2019 Last Revised: 01 Dec 2020
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 75 (437,658)
Citation 1

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Lagrange Multiplier Test, Random Coefficient Autoregressive Model, Stochastic Unit Root Model, State Space Model, Exact Score

12.

Inconsistency of a Unit Root Test Against a Stochastic Unit Root Process

Number of pages: 11 Posted: 12 Nov 2008 Last Revised: 26 Jun 2017
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 72 (447,452)
Citation 1

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locally best invariant test, consistency, Dickey Fuller test, LBI, RCA, STUR

13.

On the Matrix Operator Vecp

Number of pages: 12 Posted: 09 Mar 2017
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 60 (491,070)

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vech, vecp, symmetric, orthogonal, permutation matrix, Wald test

14.

Further Results on the VECD Operator and Its Application

Number of pages: 19 Posted: 16 Oct 2017 Last Revised: 09 Jan 2019
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 59 (494,985)

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vech; vecd; BEKK model; Kronecker product; volatility spillover; Wald test

15.

A Note on the Two Assumptions of Standard Unobserved Components Models

Economics Letters, Vol. 100, No. 1, pp. 123-125, 2008
Number of pages: 6 Posted: 22 Feb 2007 Last Revised: 18 Jun 2008
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 56 (507,041)

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Unobserved components model, Impulse response, Trend, Cycle

16.

Tests for Volatility Dynamics in Bivariate Stochastic Volatility Models

Number of pages: 18 Posted: 24 Feb 2019
Daisuke Nagakura and Yutaro Takano
Keio University - Faculty of Economics and Hitotsubashi University
Downloads 50 (533,084)
Citation 1

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Stochastic Volatility, Lagrange Multiplier Test, Volatility Co-Movement

17.

Models and Tests for the Pecking Order Hypothesis

Number of pages: 8 Posted: 05 Mar 2020 Last Revised: 10 Apr 2020
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 38 (592,742)

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Pecking Order Hypothesis, Sequential Logit Model, Nested Logit Model

18.

On the Nested Relationship among Three Probit Models

Number of pages: 11 Posted: 06 Dec 2021 Last Revised: 13 Dec 2021
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 12 (786,221)

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Multinomial probit model; Correlated sequential probit model; Ordered probit model; Discrete choice model

19.

Normality Tests with Robust Scale Estimators

Number of pages: 17 Posted: 22 Aug 2022
Daisuke Nagakura
Keio University - Faculty of Economics
Downloads 7 (837,646)

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Normality; Jarque - Bera test; Robust Estimator; C(α) test