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

  • University of York - Department of Economics and Related Studies

  • Osaka University - Institute of Social and Economic Research

SCHOLARLY PAPERS

12

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2,421

SSRN CITATIONS
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Top 15,489

in Total Papers Citations

24

CROSSREF CITATIONS

48

Scholarly Papers (12)

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1.

Testing CAPM with a Large Number of Assets

Downloads 604 (47,898)
Citation 8

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 604 (67,696)
Citation 16

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

2.

Estimation of Sparsity-Induced Weak Factor Models

ISER DP No. 1053
Number of pages: 67 Posted: 17 May 2019 Last Revised: 07 Oct 2021
Yoshimasa Uematsu and Takashi Yamagata
Tohoku University - Graduate School of Economics & Management and University of York - Department of Economics and Related Studies
Downloads 400 (112,793)
Citation 2

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Sparsity-induced weak factor models, (Adaptive) SOFAR estimator, Estimation error bound, Estimating diverging exponents, Interpreting factors, Group factor structure.

3.

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

Downloads 377 (120,604)
Citation 6

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 193 (236,712)
Citation 10

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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 184 (247,027)

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

4.

Assessing the Impact of COVID-19 on Global Fossil Fuel Consumption and Co2 Emissions

ISER DP No.1093 (2021)
Number of pages: 42 Posted: 28 Jul 2020 Last Revised: 27 Jan 2021
L. Vanessa Smith, Nori Tarui and Takashi Yamagata
University of York - Department of Economics and Related Studies, University of Hawaii - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 275 (168,987)
Citation 1

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COVID-19, CO2 emissions, fuel consumption, Global VAR (GVAR), conditional forecasts

5.

Spatial and Temporal Diffusion of House Prices in the UK

Downloads 102 (283,079)
Citation 37

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 102 (393,401)
Citation 6

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house prices, cross sectional dependence, spatial dependence

6.

Inference in Sparsity-Induced Weak Factor Models

ISER DP No. 1080, 2020
Number of pages: 73 Posted: 13 Apr 2020 Last Revised: 04 Nov 2021
Yoshimasa Uematsu and Takashi Yamagata
Tohoku University - Graduate School of Economics & Management and University of York - Department of Economics and Related Studies
Downloads 152 (290,783)
Citation 2

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Approximate Factor Models, Debiased SOFAR Estimator, Multiple Testing, FDR and Power, Re-Sparsification

7.

A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity in linear models with interactive effects for large panel data

ISER DP No. 1037
Number of pages: 86 Posted: 07 Aug 2018 Last Revised: 27 Jan 2022
Guowei Cui, Kazuhiko Hayakawa, Shuichi Nagata and Takashi Yamagata
Huazhong University of Science and Technology, Hiroshima University, Kwansei Gakuin University - School of Business Administration and University of York - Department of Economics and Related Studies
Downloads 143 (305,455)
Citation 3

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panel data; slope heterogeneity; interactive effects; correlated random coefficients

8.

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

Downloads 40 (314,128)
Citation 7

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 - Department of Economics and Related Studies and University of York - Department of Economics and Related Studies
Downloads 40 (643,962)
Citation 6

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

9.

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, BI Norwegian Business School, University of York - Department of Economics and Related Studies and Huazhong University of Science and Technology
Downloads 127 (334,598)
Citation 2

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

10.

Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects

ISER DP No. 1101, 2020
Number of pages: 74 Posted: 03 Nov 2020
Guowei Cui, Milda Norkute, Vasilis Sarafidis and Takashi Yamagata
Huazhong University of Science and Technology, Lund University, affiliation not provided to SSRN and University of York - Department of Economics and Related Studies
Downloads 91 (420,930)

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Large Panel Data, Interactive Effects, Common Factors, Principal Components Analysis, Instrumental Variables

11.

IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk

Monash Business School, Working Paper 11/20, March 2020
Number of pages: 36 Posted: 29 Jul 2020
Guowei Cui, Vasilis Sarafidis and Takashi Yamagata
Huazhong University of Science and Technology, affiliation not provided to SSRN and University of York - Department of Economics and Related Studies
Downloads 74 (475,478)
Citation 2

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Panel Data, Instrumental Variables, State Dependence, Social Interactions, Common Factors, Large N and T Asymptotics, Bank Risk Behavior, Capital Regulation

12.

Linear Panel Regression Models with Non-Classical Measurement Errors: An Application to Investment Equations

Number of pages: 110 Posted: 22 Jul 2022 Last Revised: 31 Aug 2022
Kazuhiko Hayakawa and Takashi Yamagata
Hiroshima University and University of York - Department of Economics and Related Studies
Downloads 36 (652,862)

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panel data; measurement error; covariance structure analysis; investment equation