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~subject:"Time series analysis"
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Search: person:"YAMAMOTO, Yohei"
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Time series analysis
Structural break
13
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13
Zeitreihenanalyse
12
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11
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11
structural change
10
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English
12
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Yamamoto, Yohei
12
Perron, Pierre
4
Fatum, Rasmus
1
Hara, Naoko
1
Horie, Tetsushi
1
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Global COE Hi-Stat discussion paper series
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Discussion papers / Graduate School of Economics, Hitotsubashi University
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
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ECONIS (ZBW)
12
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1
Identifying common and idiosyncratic explosive behaviors in the large dimensional factor model with an application to U.S. state-level house prices
Horie, Tetsushi
;
Yamamoto, Yohei
- In:
Journal of econometric methods
13
(
2024
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014580260
Saved in:
2
The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence
Perron, Pierre
;
Yamamoto, Yohei
- In:
Empirical economics : a quarterly journal of the …
62
(
2022
)
3
,
pp. 1193-1218
Persistent link: https://www.econbiz.de/10012819527
Saved in:
3
Identifying factor-augmented vector autoregression models via changes in shock variances
Yamamoto, Yohei
;
Hara, Naoko
- In:
Journal of applied econometrics
37
(
2022
)
4
,
pp. 722-745
Persistent link: https://www.econbiz.de/10013332683
Saved in:
4
Testing for changes in forecasting performance
Perron, Pierre
;
Yamamoto, Yohei
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 148-165
Persistent link: https://www.econbiz.de/10012424505
Saved in:
5
Asymptotic inference for common factor models in the presence of jumps
Yamamoto, Yohei
-
2015
Persistent link: https://www.econbiz.de/10011349981
Saved in:
6
Forecasting with non-spurious factors in US macroeconomic time series
Yamamoto, Yohei
-
2013
Persistent link: https://www.econbiz.de/10009714375
Saved in:
7
On the usefulness or lack thereof of optimality criteria for structural change tests
Perron, Pierre
;
Yamamoto, Yohei
-
2012
Persistent link: https://www.econbiz.de/10009666607
Saved in:
8
Estimating and testing multiple structural changes in linear models using band spectral regressions
Yamamoto, Yohei
-
2012
Persistent link: https://www.econbiz.de/10009656881
Saved in:
9
Bootstrap inference for impulse response functions in factor-augmented vector autoregressions
Yamamoto, Yohei
-
2012
Persistent link: https://www.econbiz.de/10009656885
Saved in:
10
Forecasting with nonspurious factors in U.S. macroeconomic time series
Yamamoto, Yohei
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 81-106
Persistent link: https://www.econbiz.de/10011691219
Saved in:
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