Professor, Department of Economics and Related Studies, University of York, UK
Visiting Professor, Center for Data Science and Service Research (DSSR), Tohoku University, Japan
Director, Centre for Panel Data Analysis (PanDA)
Econometric methods for panel data, high-dimensional data, big-data analyses and its application to finance, macroeconomics and microeconomics.
Chen, J., Cui, G., Sarafidis, V., Yamagata, T., 2025, IV estimation of heterogeneous spatial dynamic panel models with interactive effects.
Jiang, P., Uematsu, Y., Yamagata, T., 2024, Bias Correction in Factor-Augmented Regression Models with Weak Factors.
Jiang, P., Uematsu, Y., Yamagata, T., 2023, Revisiting Asymptotic Theory for Principal Component Estimators of Approximate Factor Models, arXiv:2311.00625.
Hayakawa, K., Yamagata, T., 2022, Linear Panel Regression Models with Non-Classical Measurement Errors: An Application to Investment Equations, SSRN 4161393
Uematsu, Y., Yamagata, T., (2025), Discovering the Network Granger Causality in Large Vector Autoregressive Models, Journal of the American Statistical Association, forthcoming, 1–23.
Pesaran, M.H., Yamagata, T., (2024), Testing for alpha in linear factor pricing models with a large number of securities, Journal of Financial Econometrics, 22, 407–460.
Ikefuji, M., Magnus, J.R., Yamagata, T., (2024), Revealing priors from posteriors with an application to inflation forecasting in the UK, Econometrics Journal, 27, 151–170.
Cui, G., Sarafidis, V., Yamagata, T., (2023), IV estimation of spatial dynamic panels with interactive effects: Large sample theory and an application on bank attitude, Econometrics Journal, 26, 124–146.
Cui, G., Hayakawa, K., Nagata, S., Yamagata, T., (2023), A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity in linear models with interactive effects for large panel data", Journal of Business & Economic Statistics, 41, 862-875. zipped matlab code
Uematsu, Y., Yamagata, T., (2023), Inference in sparsity-induced weak factor models, Journal of Business & Economic Statistics, 41, 126-139. zipped R code
Uematsu, Y., Yamagata, T., (2023), Estimation of sparsity-induced weak factor models", Journal of Business & Economic Statistics, 41, 213-227. zipped R code
Cui, G., Norkute, M., Sarafidis, V., Yamagata, T., (2022), "Two-stage instrumental variable estimation of linear panel data models with interactive effects", Econometrics Journal, 25, 340-361. Stata Code: "net install xtivdfreg", from(http://www.kripfganz.de/stata/)
Smith, L.V., Tarui, N., Yamagata, T., (2021), Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions, Energy Economics, 97.
Norkute, M., Sarafidis, V., Yamagata, T., Cui, G., (2021), Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure, Journal of Econometrics, 220, 416-446. Stata Code: "net install xtivdfreg", from(http://www.kripfganz.de/stata/)
Halunga, A., Orme, C.D., Yamagata, T., (2017), A heteroskedasticity robust Breusch–Pagan test for contemporaneous correlation in dynamic panel data models, Journal of Econometrics, 198, 209-230.
Orme, C.D., Yamagata, T., (2014), A Heteroskedasticity-Robust F-Test Statistic for Individual Effects, Econometric Reviews, 33, 431-471.
Pesaran, M.H., Smith, L.V., Yamagata, T., (2013), Panel Unit Root Tests in the Presence of a Multifactor Error Structure, Journal of Econometrics, 175, 94-115
Smith, L.V., Yamagata, T., (2011), Firm Level Return-Volatility Analysis Using Dynamic Panels, Journal of Empirical Finance, 18, 847-867.
Kapetanios G., Pesaran, M.H., Yamagata, T. (2011), Panels with Nonstationary Multifactor Error Structures, Journal of Econometrics, 160, 326-348.
Holly, S., Pesaran, M.H. , Yamagata, T., (2011), Spatial and Temporal Diffusion of House Prices in the UK, Journal of Urban Economics, 69, 2-23.
Holly, S., Pesaran, M.H. , Yamagata, T., (2010), A Spatio-Temporal Model of House Prices in the US, Journal of Econometrics, 158, 160-173.
Pesaran, M.H., Smith, R.P., Yamagata, T., Hvozdyk, L., (2009). Pairwise Tests of Purchasing Power Parity. Econometric Reviews, 28, 495-521.
Sarafidis, V., Yamagata, T., Robertson, D., (2009), A Test of Cross Section Dependence for a Linear Dynamic Panel Model with Regressors, Journal of Econometrics, 148, 149-61.
Yamagata, T. (2008), A Joint Serial Correlation Test for Linear Panel Data Models, Journal of Econometrics, 146, 134-145.
Pesaran, M.H., Ullah, A., Yamagata, T, (2008), A Bias-Adjusted LM Test of Error Cross Section Independence, Econometrics Journal, 11, 105-127.
Pesaran, M.H., Yamagata, T, (2008), Testing Slope Homogeneity in Large Panels, Journal of Econometrics, 142, 50–93.
Orme, C.D., Yamagata, T., (2006), The Asymptotic Distribution of the F-Test Statistic for Individual Effects, Econometrics Journal, 9, 404-422.
Yamagata, T., (2006), The Small Sample Performance of the Wald Test in the Sample Selection Model under the Multicollinearity Problem, Economics Letters, 93, 75-81.
Yamagata, T., Orme, C.D., (2005), On Testing Sample Selection Bias under the Multicollinearity Problem, Econometric Reviews, 24, 467 - 481.