SHIMOTSU, Katsumi

SHIMOTSU, Katsumi

Name / Position

SHIMOTSU, Katsumi / Professor

Website

Personal WebsiteOpen a new window

E-mail

shimotsu@e.u-tokyo.ac.jp

Curriculum Vitae

Education

2000 December Yale University Ph.D. in Economics
1993 March University of Tokyo BA in Liberal Arts

Professional Experience

2012 April Professor, University of Tokyo
2009 April Professor, Hitotsubashi University
2008 June Associate Professor, Department of Economics, Queen’s University
2003 July Assistant Professor, Department of Economics, Queen’s University
2000 September Lecturer, Department of Economics, University of Essex

Research Field

Econometrics, Statistics

Research Theme

Finite mixture models, dynamic discrete choice models, long memory time series

Publications

Articles - 2010-

  • “Inference in Predictive Quantile Regressions,” with Alex Maynard and Nina Kuriyama, Journal of Econometrics 245, October 2024, 105875.
  • “Identification of Regression Models with a Misclassified and Endogenous Binary Regressor,” with Hiroyuki Kasahara, Econometric Theory 38, December 2022, 1117-1139.
  • “Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models,” with Hiroyuki Kasahara, Journal of Econometrics 208, February 2019, 442-467.
  • “Estimation of Discrete Choice Dynamic Programming Models,” with Hiroyuki Kasahara, Japanese Economic Review 69, March 2018, 28-58.
  • “Testing the Number of Components in Normal Mixture Regression Models,” with Hiroyuki Kasahara, Journal of the American Statistical Association 110, December 2015, 1632-45.
  • “Modified Quasi-Likelihood Ratio Test for Regime Switching,” with Hiroyuki Kasahara and Tatsuyoshi Okimoto, Japanese Economic Review 65, March 2014, 25-41.
  • “Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003,” with Hiroyuki Kasahara and Michio Suzuki, Journal of the Japanese and International Economies 31, March 2014, 72-97.
  • “Nonparametric identification and estimation of the number of components in multivariate mixtures,” with Hiroyuki Kasahara, Journal of the Royal Statistical Society: Series B 76, January 2014, 97-111.
  • “Sequential estimation of structural models with a fixed point constraint,” with Hiroyuki Kasahara, Econometrica 80, September 2012, 2303-2319.
  • “Exact local Whittle estimation of fractionally cointegrated systems,” Journal of Econometrics 169, August 2012, 266-278.
  • “Empirical likelihood block bootstrapping,” with Jason Allen and Allan W. Gregory, Journal of Econometrics 161, April 2011, 110-121.
  • “Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity,” with Tatsuyoshi Okimoto, Journal of the Japanese and International Economies 24, September 2010, 395-411.
  • “Exact local Whittle estimation of fractional integration with unknown mean and time trend,” Econometric Theory 26, April 2010, 501-540.

Articles - 2000-2009

  • “Improvement in finite sample properties of the Hansen-Jagannathan distance test,” with Yu Ren, Journal of Empirical Finance 16, June 2009, 483-506.
  • “Nonparametric identification of finite mixture models of dynamic discrete choices,” with Hiroyuki Kasahara, Econometrica 77, January 2009, 135-175.
  • “Covariance-based orthogonality tests for regressors with unknown persistence,” with Alex Maynard, Econometric Theory 25, January 2009, 63-116.
  • “Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models,” with Hiroyuki Kasahara, Journal of Econometrics 146, September 2008, 92-106.
  • “Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach,” with Morten Ø. Nielsen, Journal of Econometrics 141, December 2007, 574-596.
  • “Gaussian semiparametric estimation of multivariate fractionally integrated processes,” Journal of Econometrics 137, April 2007, 277-310.
  • “Local Whittle estimation of fractional integration and some of its variants,” with Peter C.B. Phillips, Journal of Econometrics 103, February 2006, 209-233.
  • “Exact local Whittle estimation of fractional integration,” with Peter C.B. Phillips, Annals of Statistics 33, August 2005, 1890-1933.
  • “Local Whittle estimation in nonstationary and unit root cases,” with Peter C.B. Phillips, Annals of Statistics 32, April 2004, 656-692.
  • “Pooled log periodogram regression,” with Peter C.B. Phillips, Journal of Time Series Analysis 23, January 2002, 57-93.

Other Professional Activities and Awards

Awards

  • 2024 Fellow, Econometric Society
  • 2010 Arnold Zellner Award for the most significant theoretical paper published in the Journal of Econometrics in 2008 and 2009. Given to “Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models,” (with Hiroyuki Kasahara), Journal of Econometrics 146, September 2008, 92-106.