Publications

Maynard, A., Shimotsu, K., and Kuriyama, N. (2024). Inference in Predictive Quantile Regressions. Journal of Econometrics, 245(1-2), 105875. (October 2011 version)

Kasahara, H., and Shimotsu, K. (2022). Identification of Regression Models with a Misclassified and Endogenous Binary Regressor. Econometric Theory, 38(6), 1117-1139.

Kasahara, H., and Shimotsu, K. (2019).  Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models. Journal of Econometrics, 208(2), 442-467.

Kasahara, H., and Shimotsu, K. (2018). Estimation of Discrete Choice Dynamic Programming Models. Japanese Economic Review, 69(1), 28–58.

Kasahara, H., and Shimotsu, K. (2015). Testing the Number of Components in Normal Mixture Regression Models. Journal of the American Statistical Association, 110(512), 1632–1645.

Kasahara, H., Shimotsu, K., and Okimoto, T. (2014). Modified Quasi-likelihood Ratio Test for Regime Switching. Japanese Economic Review, 65(1), 25–41. Matlab codes for implementing the modified QLR test

Kasahara, H., Shimotsu, K., and Suzuki, M. (2014). Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003. Journal of the Japanese and International Economies, 31, 72–97.

Kasahara, H., and Shimotsu, K. (2014). Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures. Journal of the Royal Statistical Society: Series B, 76(1), 97–111. Supplementary appendix containing some technical details and additional simulation and empirical results

Kasahara, H., and Shimotsu, K. (2012). Sequential Estimation of Structural Models with a Fixed Point Constraint. Econometrica, 80(5), 2303–2319. Supplementary appendix containing some technical details

Shimotsu, K. (2012). Exact Local Whittle Estimation of Fractionally Cointegrated Systems. Journal of Econometrics, 169(2), 266–278. Supplementary appendix containing some technical details

Allen, J., Gregory, A. W., and Shimotsu, K. (2011). Empirical Likelihood Block Bootstrapping. Journal of Econometrics, 161(2), 110–121.

Okimoto, T., and Shimotsu, K. (2010). Decline in the Persistence of Real Exchange Rates, but Not Sufficient for Purchasing Power Parity. Journal of the Japanese and International Economies, 24(3), 395–411.

Shimotsu, K. (2010). Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend. Econometric Theory, 26(2), 501–540. © Cambridge University Press.

Ren, Y., and Shimotsu, K. (2009). Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test. Journal of Empirical Finance, 16(3), 483–506.

Kasahara, H., and Shimotsu, K. (2009). Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices. Econometrica, 77(1), 135–175. Correction to the proof of Proposition 6

Maynard, A., and Shimotsu, K. (2009). Covariance-Based Orthogonality Tests for Regressors with Unknown Persistence. Econometric Theory, 25(1), 63–116.

Kasahara, H., and Shimotsu, K. (2008). Pseudo-Likelihood Estimation and Bootstrap Inference for Structural Discrete Markov Decision Models. Journal of Econometrics, 146(1), 92–106. (Winner of the 2010 Arnold Zellner Award for the most significant theoretical paper published in the Journal of Econometrics in 2008 and 2009). Supplementary appendix containing some technical details and proofs

Nielsen, M. Ø., and Shimotsu, K. (2007). Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach. Journal of Econometrics, 141(2), 574–596.

Shimotsu, K. (2007). Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes. Journal of Econometrics, 137(2), 277–310.

Phillips, P. C. B., and Shimotsu, K. (2006). Local Whittle Estimation of Fractional Integration and Some of Its Variants. Journal of Econometrics, 103(2), 209–233.

Phillips, P. C. B., and Shimotsu, K. (2005). Exact Local Whittle Estimation of Fractional Integration. Annals of Statistics, 33(4), 1890–1933.

Phillips, P. C. B., and Shimotsu, K. (2004). Local Whittle Estimation in Nonstationary and Unit Root Cases. Annals of Statistics, 32(2), 656–692.

Phillips, P. C. B., and Shimotsu, K. (2002). Pooled Log Periodogram Regression. Journal of Time Series Analysis, 23(1), 57–93.