Details about Kazuhiko Hayakawa

Access statistics for papers by Kazuhiko Hayakawa.

Last updated 2020-01-31. Update your information in the RePEc Author Service.

Short-id: pha299

Working Papers

2019

1. A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects
   ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (3)

2014

2. Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
   CESifo Working Paper Series, CESifo View citations (5)
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) View citations (5)

2012

3. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
   Working Paper series, Rimini Centre for Economic Analysis View citations (9)
   Also in CESifo Working Paper Series, CESifo (2012) View citations (8)
   IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (8)
4. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)

2008

5. On the Effect of Nonstationary Initial Conditions in Dynamic Panel Data Models
   Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (4)

2007

6. A Simple Efficient Instrumental Variable Estimator in Panel AR(p) Models
   Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (8)
7. Dynamic Panel Data Models with Cross Section Dependence and Heteroscedasticity
   Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (2)

2006

8. Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors
   Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
   See also Journal Article Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors, Journal of Econometrics, Elsevier (2009) View citations (20) (2009)
9. Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present
   Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (9)
10. The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (11)
11. The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (5)
    See also Journal Article The role of “leads” in the dynamic OLS estimation of cointegrating regression models, Mathematics and Computers in Simulation (MATCOM), Elsevier (2008) View citations (18) (2008)

2005

12. Small Sample Bias Propreties of the System GMM Estimator in Dynamic Panel Data Models
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (10)
    See also Journal Article Small sample bias properties of the system GMM estimator in dynamic panel data models, Economics Letters, Elsevier (2007) View citations (125) (2007)

Journal Articles

2019

1. Alternative over-identifying restriction test in the GMM estimation of panel data models
   Econometrics and Statistics, 2019, 10, (C), 71-95 View citations (3)
2. Double filter instrumental variable estimation of panel data models with weakly exogenous variables
   Econometric Reviews, 2019, 38, (9), 1055-1088 View citations (12)

2018

3. Corrected standard errors for optimal minimum distance estimator
   Economics Letters, 2018, 167, (C), 5-9
4. Examining the Feldstein–Horioka puzzle using common factor panels and interval estimation
   Japan and the World Economy, 2018, 48, (C), 11-21 View citations (2)

2016

5. Identification problem of GMM estimators for short panel data models with interactive fixed effects
   Economics Letters, 2016, 139, (C), 22-26 View citations (5)
6. Improved GMM estimation of panel VAR models
   Computational Statistics & Data Analysis, 2016, 100, (C), 240-264 View citations (11)
7. On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions
   Computational Statistics & Data Analysis, 2016, 100, (C), 265-303 View citations (8)

2015

8. Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
   Journal of Econometrics, 2015, 188, (1), 111-134 View citations (26)

2010

9. New transformation methods in dynamic panel data models with heterogeneous time trends
   Applied Economics Letters, 2010, 17, (4), 375-379 View citations (1)
10. The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results
    Journal of Econometrics, 2010, 159, (1), 202-208 View citations (5)

2009

11. A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTH N AND T ARE LARGE
    Econometric Theory, 2009, 25, (3), 873-890 View citations (33)
12. Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
    Journal of Econometrics, 2009, 149, (2), 118-135 View citations (20)
    See also Working Paper Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors, Hi-Stat Discussion Paper Series (2006) (2006)
13. First Difference or Forward Orthogonal Deviation- Which Transformation Should be Used in Dynamic Panel Data Models?: A Simulation Study
    Economics Bulletin, 2009, 29, (3), 2008-2017 View citations (84)
14. On the effect of mean-nonstationarity in dynamic panel data models
    Journal of Econometrics, 2009, 153, (2), 133-135 View citations (25)

2008

15. Dynamic Panel Data Models―A Survey―
    Economic Review, 2008, 59, (2), 112-125 View citations (3)
16. Nonstationary Panel Data Models―A Survey―
    Economic Review, 2008, 59, (2), 126-138
17. The role of “leads” in the dynamic OLS estimation of cointegrating regression models
    Mathematics and Computers in Simulation (MATCOM), 2008, 79, (3), 555-560 View citations (18)
    See also Working Paper The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models, Hi-Stat Discussion Paper Series (2006) View citations (5) (2006)

2007

18. Consistent OLS estimation of AR(1) dynamic panel data models with short time series
    Applied Economics Letters, 2007, 14, (15), 1141-1145 View citations (3)
19. Small sample bias properties of the system GMM estimator in dynamic panel data models
    Economics Letters, 2007, 95, (1), 32-38 View citations (125)
    See also Working Paper Small Sample Bias Propreties of the System GMM Estimator in Dynamic Panel Data Models, Hi-Stat Discussion Paper Series (2005) View citations (10) (2005)

2006

20. A Note on Bias in First-Differenced AR(1) Models
    Economics Bulletin, 2006, 3, (27), 1-10