KATAYAMA,Naoya - Faculty of Economics Department of Economics Industrial and Business Economics

KATAYAMA, Naoya

Faculty, Department/Institute

Faculty of Economics Department of Economics Industrial and Business Economics

Academic status (qualification)

Professor Apr. 1,2014

Academic Degrees

Essays on Seasonally and Fractionally Differenced Time Series Mar. 2004 Hitotsubashi University

Research fields	keyword
Econometrics

所属学会・団体名	役職名 (役職在任期間)
Econometric Society

Research Publications

No.	Type of publication	Date of publication (Date of presentation)	Title	Type of research result	Jointly authored or single authored	Publisher and journal name	Volume number
1	Papers1	2016～2016,00,00,,,	The portmanteau tests and the LM test for ARMA models with uncorrelated errors	Academic Journal	Single-Author	Advances in Time Series Methods and Applications: the A. Ian McLeod Festschrift. Editors: W. K. Li, David Stanford and Hao Yu, Springer	131-150
2	International academic conference8	2015/12～2015,12,00,,,	Comments on Insight from a Bayesian VAR model with drifting parameters of the French housing and credit markets		Single-Author	XXIV International Rome Conference on Money, Banking and Finance
3	International academic conference8	2015/12～2015,12,00,,,	Identification and Goodness of Fit Tests for SVAR Models with Application to the Effects of the Quantitative Easing Policy by the Bank of Japan		Single-Author	XXIV International Rome Conference on Money, Banking and Finance
4	Papers1	2013～2013,00,00,,,	Proposal of Robust M Tests and Their Applications	Academic Journal	Single-Author	Woking Paper Series, Economic Society of Kansai University	F-65
5	International academic conference8	2012/12～2012,12,00,,,	Proposal of Two Robust M tests		Single-Author	2012 (EC)2 Conference
6	Papers1	2012～2012,00,00,,,	Chi-Squared Portmanteau Tests for structural VARMA models with uncorrelated errors	Academic Journal	Single-Author	Journal of Time Series Analysis
7	Papers1	2012～2012,00,00,,,	Robust M Tests Using Projection Matrices	Academic Journal	Single-Author	Woking Paper Series, Economic Society of Kansai University	F-56
8	Papers1	2012～2012,00,00,,,	Chi-Squared Portmanteau Tests for Weak Vector Autoregressive Models	Academic Journal	Single-Author	Woking Paper Series, Economic Society of Kansai University	F-54
9	Papers1	2011～2011,00,00,,,	Chi-Squared Portmanteau Tests for Weak Vector Autoregressive Models	Academic Journal	Single-Author	Woking Paper Series, Economic Society of Kansai University	F-47
10	Papers1	2011～2011,00,00,,,	Chi-Squared Portmanteau Statistics for Vector Autoregressive Models with Uncorrelated Errors	Academic Journal	Single-Author	Kansai University Review of Economics	No 13, 1-23
11	International academic conference8	2010/11～2010,11,00,,,	Chi-Squared Portmanteau Statistics for Vector Autoregressive Models with Uncorrelated Errors		Single-Author	Hitotsubashi Conference on Econometrics 2010
12	International academic conference8	2009/3～2009,03,00,,,	On Multiple Portmanteau Tests		Single-Author	International Conference on Econometrics and the World Economy
13	Papers1	2009～2009,00,00,,,	On Multiple Portmanteau Tests,	Academic Journal	Single-Author	Journal of Time Series Analysis	30 (5) , 487–504
14	Papers1	2009～2009,00,00,,,	Simulation Studies of Multiple Portmanteau Tests	Academic Journal	Single-Author	Discussion Paper Series, Faculty of Economics, Kyushu University	2009-4
15	International academic conference8	2008/7～2008,07,00,,,	Portmanteau Likelihood Ratio Tests for Morel Selection		Single-Author	Far Eastern and South Asian Meeting of the Econometric Society
16	Papers1	2008～2008,00,00,,,	An Improvement of the Portmanteau Statistic	Academic Journal	Single-Author	Journal of Time Series Analysis	29 (2) , 359–370
17	Papers1	2008～2008,00,00,,,	Asymptotic Prediction of Mean Squared Error for Long-Memory Processes with EstimatedParameters	Academic Journal	Single-Author	Journal of Forecasting	27(8), 690-720
18	Papers1	2008～2008,00,00,,,	On Multiple Portmanteau Tests	Academic Journal	Single-Author	Discussion Paper Series, Faculty of Economics, Kyushu University	2008-4
19	Papers1	2008～2008,00,00,,,	Portmanteau Likelihood Ratio Tests for Morel Selection	Academic Journal	Single-Author	Discussion Paper Series, Faculty of Economics, Kyushu University	2008-1
20	International academic conference8	2007/4～2007,04,00,,,	On the Bias of the Portmanteau Statistic		Single-Author	The Third Symposium on Econometric Theory and Applications (SETA2007)
21	Papers1	2007～2007,00,00,,,	Seasonally and Fractionally Differenced Time Series	Academic Journal	Single-Author
22	Papers1	2004～2004,00,00,,,	Essays on Seasonally and Fractionally Differenced Time Series	Other	Single-Author

Academic presentationSingle-AuthorNaoya Katayama2016/5～

PapersThe portmanteau tests and the LM test for ARMA models with uncorrelated errorsIn refereedAcademic JournalSingle-AuthorNaoya KatayamaAdvances in Time Series Methods and Applications: the A. Ian McLeod Festschrift. Editors: W. K. Li, David Stanford and Hao Yu, Springer131-1502016～

International academic conferenceComments on Insight from a Bayesian VAR model with drifting parameters of the French housing and credit marketsSingle-AuthorNaoya KatayamaXXIV International Rome Conference on Money, Banking and Finance2015/12～

International academic conferenceIdentification and Goodness of Fit Tests for SVAR Models with Application to the Effects of the Quantitative Easing Policy by the Bank of JapanIn refereedSingle-AuthorNaoya KatayamaXXIV International Rome Conference on Money, Banking and Finance2015/12～

PapersProposal of Robust M Tests and Their ApplicationsUnrefereedAcademic JournalSingle-AuthorNaoya KatayamaWoking Paper Series, Economic Society of Kansai UniversityF-652013～

International academic conferenceProposal of Two Robust M testsIn refereedSingle-AuthorNaoya Katayama2012 (EC)2 Conference2012/12～

PapersChi-Squared Portmanteau Tests for structural VARMA models with uncorrelated errorsIn refereedAcademic JournalSingle-AuthorNaoya KatayamaJournal of Time Series Analysis2012～

PapersRobust M Tests Using Projection MatricesUnrefereedAcademic JournalSingle-AuthorNaoya KatayamaWoking Paper Series, Economic Society of Kansai UniversityF-562012～

PapersChi-Squared Portmanteau Tests for Weak Vector Autoregressive ModelsUnrefereedAcademic JournalSingle-AuthorNaoya KatayamaWoking Paper Series, Economic Society of Kansai UniversityF-542012～

BookMonographSingle-Author2012～

PapersChi-Squared Portmanteau Tests for Weak Vector Autoregressive ModelsUnrefereedAcademic JournalSingle-AuthorNaoya KatayamaWoking Paper Series, Economic Society of Kansai UniversityF-472011～

PapersChi-Squared Portmanteau Statistics for Vector Autoregressive Models with Uncorrelated ErrorsUnrefereedAcademic JournalSingle-AuthorNaoya KatayamaKansai University Review of EconomicsNo 13, 1-232011～

International academic conferenceChi-Squared Portmanteau Statistics for Vector Autoregressive Models with Uncorrelated ErrorsSingle-AuthorNaoya KatayamaHitotsubashi Conference on Econometrics 20102010/11～

Academic presentationSingle-Author2010/9～

Academic presentationSingle-AuthorNaoya Katayama2010/1～

International academic conferenceOn Multiple Portmanteau TestsSingle-AuthorNaoya KatayamaInternational Conference on Econometrics and the World Economy2009/3～

Academic presentationSingle-AuthorNaoya Katayama2009/1～

PapersOn Multiple Portmanteau Tests,In refereedAcademic JournalSingle-AuthorNaoya KatayamaJournal of Time Series Analysis30 (5) , 487–5042009～

TextbookSingle-AuthorKATAYAMA,Naoya2009～

PapersUnrefereedAcademic JournalSingle-Author2009～

PapersSimulation Studies of Multiple Portmanteau TestsUnrefereedAcademic JournalSingle-AuthorNaoya KatayamaDiscussion Paper Series, Faculty of Economics, Kyushu University 2009-42009～

Academic presentationSingle-AuthorNaoya Katayama2008/9～

International academic conferencePortmanteau Likelihood Ratio Tests for Morel SelectionSingle-AuthorNaoya KatayamaFar Eastern and South Asian Meeting of the Econometric Society2008/7～

Academic presentationSingle-Author2008/2～

PapersAn Improvement of the Portmanteau StatisticIn refereedAcademic JournalSingle-AuthorNaoya KatayamaJournal of Time Series Analysis29 (2) , 359–3702008～

PapersAsymptotic Prediction of Mean Squared Error for Long-Memory Processes with EstimatedParametersIn refereedAcademic JournalSingle-AuthorNaoya KatayamaJournal of Forecasting27(8), 690-7202008～

PapersOn Multiple Portmanteau TestsUnrefereedAcademic JournalSingle-AuthorNaoya KatayamaDiscussion Paper Series, Faculty of Economics, Kyushu University 2008-42008～

PapersPortmanteau Likelihood Ratio Tests for Morel SelectionUnrefereedAcademic JournalSingle-AuthorNaoya KatayamaDiscussion Paper Series, Faculty of Economics, Kyushu University 2008-12008～

Academic presentationSingle-Author2007/11～

Academic presentationSingle-AuthorNaoya Katayama2007/9～

Academic presentationSingle-Author2007/9～

International academic conferenceOn the Bias of the Portmanteau StatisticSingle-AuthorNaoya KatayamaThe Third Symposium on Econometric Theory and Applications (SETA2007)2007/4～

PapersSeasonally and Fractionally Differenced Time SeriesIn refereedAcademic JournalSingle-AuthorNaoya Katayama2007～

Academic presentationSingle-Author2006/9～

PapersIn refereedAcademic JournalSingle-AuthorNaoya Katayama2006～

Academic presentationSingle-Author2005/9～

Academic presentationSingle-Author2004/9～

Academic presentationSingle-Author2004/2～

PapersUnrefereedAcademic JournalSingle-AuthorNaoya Katayama2004～Published in Hitotsubashi Journal of Economics, Vol.48, No.1, 25-55

PapersUnrefereedAcademic JournalSingle-AuthorNaoya Katayama2004～Published in Journal of Forecasting, 27(8), 690-720

PapersEssays on Seasonally and Fractionally Differenced Time SeriesUnrefereedOtherSingle-AuthorNaoya Katayama2004～

Academic presentationSingle-AuthorNaoya Katayama2002/9～

KATAYAMA, Naoya

Faculty, Department/Institute

Academic status (qualification)

Academic Degrees

Research fields

Research Career

Academic Associations

Research Publications

Courses Taught