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

11

DOWNLOADS
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Top 36,810

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1,504

SSRN CITATIONS
Rank 13,092

SSRN RANKINGS

Top 13,092

in Total Papers Citations

25

CROSSREF CITATIONS

63

Scholarly Papers (11)

1.
Downloads 476 ( 48,207)
Citation 9

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 476 (70,386)
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

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 144 (239,188)
Citation 5

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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 137 (249,223)

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

3.

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 196 (183,371)
Citation 1

Abstract:

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

4.

Estimation of Weak Factor Models

ISER DP No. 1053
Number of pages: 46 Posted: 17 May 2019 Last Revised: 22 Sep 2020
Yoshimasa Uematsu and Takashi Yamagata
Tohoku University - Graduate School of Economics & Management and University of York - Department of Economics and Related Studies
Downloads 183 (194,998)
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.

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 91 (333,682)
Citation 6

Abstract:

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house prices, cross sectional dependence, spatial dependence

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 32 (548,811)
Citation 6

Abstract:

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

7.

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 (Formerly Tongi Medical University)
Downloads 99 (313,641)
Citation 2

Abstract:

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

8.

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
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 79 (360,563)
Citation 2

Abstract:

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

9.

Inference in Weak Factor Models

ISER DP No. 1080, 2020
Number of pages: 43 Posted: 13 Apr 2020
Yoshimasa Uematsu and Takashi Yamagata
Tohoku University - Graduate School of Economics & Management and University of York - Department of Economics and Related Studies
Downloads 44 (478,668)

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

10.

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 (Formerly Tongi Medical University), affiliation not provided to SSRN and University of York - Department of Economics and Related Studies
Downloads 13 (657,267)
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

11.

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 (Formerly Tongi Medical University), Lund University, affiliation not provided to SSRN and University of York - Department of Economics and Related Studies
Downloads 10 (679,192)

Abstract:

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