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

7

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Top 12,675

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12

CROSSREF CITATIONS

63

Scholarly Papers (7)

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1.

Testing CAPM with a Large Number of Assets

Downloads 445 ( 44,768)
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 445 (65,907)
Citation 12

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

2.

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

Downloads 250 (127,035)
Citation 3

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 132 (225,585)
Citation 3

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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 118 (245,870)

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

3.

Spatial and Temporal Diffusion of House Prices in the UK

Downloads 89 (220,937)
Citation 33

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 89 (298,609)
Citation 3

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house prices, cross sectional dependence, spatial dependence

4.

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

Downloads 31 (247,883)
Citation 26

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 (491,974)
Citation 2

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

5.

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 71 (338,608)
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

6.

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 70 (341,297)

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

7.

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
Guowei Cui, Kazuhiko Hayakawa, Shuichi Nagata and Takashi Yamagata
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 56 (382,327)
Citation 2

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