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

12

DOWNLOADS
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Top 31,921

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2,421

SSRN CITATIONS
Rank 15,489

SSRN RANKINGS

Top 15,489

in Total Papers Citations

24

CROSSREF CITATIONS

48

Scholarly Papers (12)

1.
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

Abstract:

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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

Abstract:

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

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

Abstract:

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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

Abstract:

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

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

Abstract:

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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

Abstract:

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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
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

Abstract:

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

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

Abstract:

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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

Abstract:

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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