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Katsumi Shimotsu

Associate Professor and RBC Fellow

Contact Information

229 Dunning Hall 
Phone: (613) 533-6546
Department of Economics Fax: (613) 533-6668
Queen's University E-mail: shimotsu@econ.queensu.ca
Kingston, Ontario K7L 3N6, Canada

Publications

  • “Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test”, with Yu Ren, Journal of Empirical Finance 16(3), June 2009, pp. 483-506.

  • “Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend”, forthcoming in Econometric Theory.

  • “Covariance-based Orthogonality Tests for Regressors with Unknown Persistence”, with Alex Maynard, Econometric Theory 25(1), January 2009, pp. 63-116.

  • “Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices”, with Hiroyuki Kasahara, Econometrica 77(1), January 2009, pp. 135-175. The old version is available as QED working paper #1092.

  • “Pseudo-likelihood Estimation and Bootstrap Inference for Structural Discrete Markov Decision Models”, with Hiroyuki Kasahara, Journal of Econometrics 146(1), September 2008, pp. 92-106. Supplymentary appendix containing some technical details and proofs.

  • “Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach”, with Morten Ø. Nielsen, Journal of Econometrics 141(2), December 2007, pp. 574-596.

  • “Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes”, Journal of Econometrics 137(2), April 2007, pp. 277-310.

  • “Local Whittle Estimation of Fractional Integration and Some of its Variants”, with Peter C.B. Phillips, Journal of Econometrics 103(2), February 2006, pp. 209-233.

  • “Exact Local Whittle Estimation of Fractional Integration”, with Peter C.B. Phillips, Annals of Statistics 33(4), August 2005, pp. 1890-1933.

  • “Local Whittle Estimation in Nonstationary and Unit Root Cases”, with Peter C.B. Phillips, Annals of Statistics 32(2), April 2004, pp. 656-692.

  • “Pooled Log Periodogram Regression,”, with Peter C.B. Phillips, Journal of Time Series Analysis 23(1), January 2002, pp. 57-93.

    • Working Papers

  • “Sequential Estimation of Structural Models with a Fixed Point Constraint”, with Hiroyuki Kasahara, December 2008. Supplymentary appendix containing some technical details.

  • “Empirical Likelihood Block Bootstrapping”, with Jason Allen and Allan W. Gregory, March 2008.

  • “Nonparametric Identification and Estimation of Multivariate Mixtures”, with Hiroyuki Kasahara, August 2008. The old version is available as QED working paper #1153.

  • “Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity”, with Tatsuyoshi Okimoto, October 2007.

  • “Simple (but Effective) Tests of Long Memory versus Structural Breaks”, December 2006.

  • “Enrollment Responses to Labour Market Conditions: A Study of the Canadian Market for Scientists and Engineers”, with Sumon Majumdar, September 2006.

  • “Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case”, with Peter C.B. Phillips, Cowles Foundation Discussion Paper No.1265. (available at http://cowles.econ.yale.edu)

    • Matlab codes

  • Matlab codes for local Whittle estimation and exact local Whittle estimation of the memory parameter (d) in fractionally integrated (I(d)) time series (elwcode.zip)

  • Jon Breslaw of Econotron Software has kindly converted the Matlab code to Gauss. It is freely downloadable from the “download” section of www.econotron.com .

  • Matlab codes for cointegrating rank estimation with an exchange rate example. They reproduce the results in Nielsen and Shimotsu (2006). (fcicode.zip) These code require the codes in elwcode.zip above.

  • Matlab codes for two tests of true versus spurious I(d). (spurious.zip) See Shimotsu (2006) “Simple (but Effective) Tests of Long Memory versus Structural Breaks” above. These code require the codes in elwcode.zip above.



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