Takashi Yamagata

Current Affiliations

• Professor, Department of Economics and Related Studies, University of York, UK

• Professor (Specially Appointed), Institute of Social and Economic Research, University of Osaka, Japan

• Visiting Professor, Center for Data Science and Service Research (DSSR), Tohoku University, Japan

• Director, Centre for Panel Data Analysis (PanDA)

CV(pdf)

Research Interest

Econometric methods for panel data, high-dimensional data, big-data analyses and its application to finance, macroeconomics and microeconomics. 

Working Papers

• 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., 2024, Discovering the Network Granger Causality in Large Vector Autoregressive Models, arXiv:2303.15158.

Publications

• 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.