Katsumi Shimotsu, Ph.D.
Affiliations: | 2000 | Yale University, New Haven, CT |
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"Katsumi Shimotsu"Parents
Sign in to add mentor| Peter C.B. Phillips | grad student | 2000 | Yale | |
| (Econometric estimation of models of fractional integration.) | ||||
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Publications
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| Kasahara H, Shimotsu K. (2019) Asymptotic properties of the maximum likelihood estimator in regime switching econometric models Journal of Econometrics. 208: 442-467 |
| Kasahara H, Shimotsu K. (2018) Estimation of Discrete Choice Dynamic Programming Models The Japanese Economic Review. 69: 28-58 |
| Kasahara H, Shimotsu K. (2015) Testing the Number of Components in Normal Mixture Regression Models Journal of the American Statistical Association. 110: 1632-1645 |
| Kasahara H, Shimotsu K. (2014) Non-parametric identification and estimation of the number of components in multivariate mixtures Journal of the Royal Statistical Society. Series B: Statistical Methodology. 76: 97-111 |
| Kasahara H, Okimoto T, Shimotsu K. (2014) Modified Quasi-Likelihood Ratio Test for Regime Switching Japanese Economic Review. 65: 25-41 |
| Kasahara H, Shimotsu K. (2012) Sequential estimation of structural models with a fixed point constraint Econometrica. 80: 2303-2319 |
| Shimotsu K. (2012) Exact local Whittle estimation of fractionally cointegrated systems Journal of Econometrics. 169: 266-278 |
| Allen J, Gregory AW, Shimotsu K. (2011) Empirical likelihood block bootstrapping Journal of Econometrics. 161: 110-121 |
| Shimotsu K. (2010) Exact local Whittle estimation of fractional integration with unknown mean and time trend Econometric Theory. 26: 501-540 |
| Okimoto T, 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: 395-411 |