← All authors Katsumi Shimotsu The University of Tokyo (per OpenAlex) · ORCID · OpenAlex
27 papers in scope · 24 published · 5 on the econ.EM arXiv · 1,514 citations · h-index 16 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Gabriel Rodriguez-Rondon Hao Yu Hiroyuki Kasahara Marcell T. Kurbucz Michio Suzuki Jean-Marie Dufour Jason R. Blevins Paul Schrimpf Yannick Hoga Christian Schulz Jackson Bunting Rui Fan Christis Katsouris Tong Li Minhae Kim Kyunghoon Ban Santiago Acerenza Ji Hyung Lee Takeshi Fukasawa Tobias Fissler Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (5 of 27)
working paper 2026 · arXiv
published 2024 · Journal of Econometrics · 14 citations · first circulated 2023
published 2021 · Econometric Theory · 2 citations · first circulated 2019
working paper 2019 · arXiv · 1 citations
Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
published 2018 · Journal of Econometrics · 19 citations · first circulated 2017
working paper 2018 · arXiv · 2 citations
Estimation of Discrete Choice Dynamic Programming Models
published 2017 · Japanese Economic Review · 6 citations
Announcement
published 2016 · Japanese Economic Review
Nonparametric Identification of Finite Mixture Econometric Models of Dynamic Discrete Choices(Special Topic: The JSS Research Prize Lecture)
published 2015 · Nihon Tōkei Gakkaishi/Nihon Tokei Gakkaishi
no link
Testing the Number of Components in Normal Mixture Regression Models
published 2014 · Journal of the American Statistical Association · 58 citations
Modified Quasi-Likelihood Ratio Test for Regime Switching
published 2013 · Japanese Economic Review · 7 citations · first circulated 2008
Does an R&D tax credit affect R&D expenditure? The Japanese R&D tax credit reform in 2003
published 2013 · Journal of the Japanese and International Economies · 45 citations
Non-Parametric Identification and Estimation of the Number of Components in Multivariate Mixtures
published 2013 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 64 citations
Exact local Whittle estimation of fractionally cointegrated systems
published 2012 · Journal of Econometrics · 48 citations · first circulated 2003
Sequential Estimation of Structural Models With a Fixed Point Constraint
published 2012 · Econometrica · 59 citations · first circulated 2008
Empirical likelihood block bootstrapping
published 2010 · Journal of Econometrics · 17 citations · first circulated 2008
with Jason Allen, Allan W. Gregory
Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity
published 2010 · Journal of the Japanese and International Economies · 17 citations
with Tatsuyoshi Okimoto
EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
published 2009 · Econometric Theory · 254 citations · first circulated 2005
Improvement in finite sample properties of the Hansen–Jagannathan distance test
published 2009 · Journal of Empirical Finance · 16 citations · first circulated 2007
with Yu Ren
COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE
published 2009 · Econometric Theory · 27 citations · first circulated 2004
Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices
published 2008 · Econometrica · 263 citations · first circulated 2006
Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
published 2008 · Journal of Econometrics · 48 citations
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
published 2006 · Journal of Econometrics · 87 citations
Gaussian semiparametric estimation of multivariate fractionally integrated processes
published 2006 · Journal of Econometrics · 82 citations
Local Whittle estimation of fractional integration and some of its variants
published 2005 · Journal of Econometrics · 132 citations
Local Whittle estimation in nonstationary and unit root cases
published 2004 · The Annals of Statistics · 241 citations · first circulated 2000
Pooled Log Periodogram Regression
published 2002 · Journal of Time Series Analysis · 5 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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