Takashi Yamagata

University of York - Department of Economics and Related Studies

Heslington

York, YO1 5DD

United Kingdom

Osaka University - Institute of Social and Economic Research

6-1, Mihogaoka

Suita, Osaka 567-0047

Japan

SCHOLARLY PAPERS

7

DOWNLOADS
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in Total Papers Downloads

948

SSRN CITATIONS
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Top 12,975

in Total Papers Citations

5

CROSSREF CITATIONS

63

Scholarly Papers (7)

1.
Downloads 433 ( 44,752)
Citation 7

Testing CAPM with a Large Number of Assets

AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 13 Mar 2012
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 433 (65,993)
Citation 9

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CAPM, Testing for alpha, Market efficiency, Long/short equity returns, Large panels, Weak and strong cross-sectional dependence

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

USC-INET Research Paper No. 17-13
Number of pages: 99 Posted: 31 Mar 2017 Last Revised: 04 Apr 2017
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 124 (229,989)
Citation 2

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CAPM, Testing for Alpha, Weak and Spatial Error Cross-Sectional Dependence, S&P 500 Securities, Long/Short Equity Strategy

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

CESifo Working Paper Series No. 6432
Number of pages: 100 Posted: 24 May 2017
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 113 (246,463)

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CAPM, testing for alpha, weak and spatial error cross-sectional dependence, S&P 500 securities, long/short equity strategy

Spatial and Temporal Diffusion of House Prices in the UK

CESifo Working Paper Series No. 2913
Number of pages: 45 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 York - Department of Economics and Related Studies
Downloads 88 (292,331)
Citation 3

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house prices, cross sectional dependence, spatial dependence

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

IZA Working Paper No. 3254
Number of pages: 56 Posted: 23 May 2008
M. Hashem Pesaran, L. Vanessa Smith and Takashi Yamagata
University of Southern California - Department of Economics, University of York and University of York - Department of Economics and Related Studies
Downloads 31 (478,054)
Citation 1

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

5.

Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure

ISER Discussion Paper No. 1019
Number of pages: 98 Posted: 26 Feb 2018 Last Revised: 11 May 2019
Milda Norkute, Vasilis Sarafidis, Takashi Yamagata and Guowei Cui
Lund University, Monash University - Department of Econometrics & Business Statistics, University of York - Department of Economics and Related Studies and Huazhong University of Science and Technology (Formerly Tongi Medical University)
Downloads 60 (362,275)

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method of moments, dynamic panel data, cross-sectional dependence, factor model

6.

A Robust Approach to Heteroskedasticity, Error Serial Correlation and Slope Heterogeneity for Large Linear Panel Data Models with Interactive Effects

ISER DP No. 1037
Number of pages: 62 Posted: 07 Aug 2018 Last Revised: 28 Jun 2019
Huazhong University of Science and Technology (Formerly Tongi Medical University), Hiroshima University, Kwansei Gakuin University - School of Business Administration and University of York - Department of Economics and Related Studies
Downloads 50 (391,172)
Citation 1

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panel data, slope heterogeneity, interactive e¤ects, test for correlated random coefficients

7.

Estimation of Weak Factor Models

ISER DP No. 1053
Number of pages: 59 Posted: 17 May 2019
Yoshimasa Uematsu and Takashi Yamagata
Tohoku University - Graduate School of Economics & Management and University of York - Department of Economics and Related Studies
Downloads 49 (394,657)
Citation 1

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Approximate Factor Models, Weak Factors with Sparse Factor Loadings, Determining the Number of Weak Factors, Non-Asymptotic Error Bound, Factor Selection Consistency, Firm Security Returns, Forecasting Bond Yields