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Eiji Kurozumi · Study

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Eiji Kurozumi

13 works· latest 2020· 2 institutionscluster: provisionalORCID 0000-0001-8425-5315

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Citations805

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Most cited in this library

A simple panel stationarity test in the presence of serial correlation and a common factor2011 · 278 citations
Testing for stationarity with a break2002 · 167 citations
Testing for the Null Hypothesis of Cointegration with a Structural Break2007 · 109 citations
Modified lag augmented vector autoregressions2000 · 58 citations
Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors2008 · 49 citations

Works

13 shown

Asymptotic Behavior of Delay Times of Bubble Monitoring Tests

Journal of Time Series Analysis·2020·1 author·Open access

10citations

Confidence sets for the break date based on optimal tests

Econometrics Journal·2015·2 authors

10citations

A simple panel stationarity test in the presence of serial correlation and a common factor

Economics Letters·2011·2 authors

278citations

Reducing the size distortion of the KPSS test

Journal of Time Series Analysis·2010·2 authors

17citations

Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

Journal of Econometrics·2008·2 authors·Open access

49citations

The role of “leads” in the dynamic OLS estimation of cointegrating regression models

Mathematics and Computers in Simulation·2008·2 authors·Open access

30citations

Testing for the Null Hypothesis of Cointegration with a Structural Break

Econometric Reviews·2007·1 author

109citations

Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems

Journal of Time Series Analysis·2006·2 authors

24citations

THE RANK OF A SUBMATRIX OF COINTEGRATION

Econometric Theory·2005·1 author·Open access

9citations

Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series*

Oxford Bulletin of Economics and Statistics·2005·1 author·Open access

23citations

Testing for stationarity with a break

Journal of Econometrics·2002·1 author

167citations

TESTING FOR PERIODIC STATIONARITY

Econometric Reviews·2002·1 author

21citations

Modified lag augmented vector autoregressions

Econometric Reviews·2000·2 authors

58citations