Atsushi Inoue

Works (23)

Updated: July 5th, 2023 16:02

2013 journal article

Frequentist inference in weakly identified dynamic stochastic general equilibrium models: Acronyms must be spelled out in titles for indexing purposes

QUANTITATIVE ECONOMICS, 4(2), 197–229.

By: P. Guerron-Quintana*, A. Inoue n & L. Kilian*

author keywords: DSGE models; identification; inference; confidence sets; Bayes factor; likelihood ratio; C32; C52; E30; E50
topics (OpenAlex): Monetary Policy and Economic Impact; Market Dynamics and Volatility; Economic theories and models
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8. Decent Work and Economic Growth (Web of Science; OpenAlex)
Source: Web Of Science
Added: August 6, 2018

2012 journal article

MEAN-PLUS-NOISE FACTOR MODELS: AN EMPIRICAL EXPLORATION

JAPANESE ECONOMIC REVIEW, 63(3), 289–309.

By: A. Inoue n

author keywords: C32; C53
topics (OpenAlex): Monetary Policy and Economic Impact; Market Dynamics and Volatility; Complex Systems and Time Series Analysis
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Source: Web Of Science
Added: August 6, 2018

2012 journal article

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 30(3), 432–453.

By: B. Rossi * & A. Inoue n

author keywords: Estimation window; Forecast evaluation; Predictive ability testing
topics (OpenAlex): Monetary Policy and Economic Impact; Forecasting Techniques and Applications; Financial Risk and Volatility Modeling
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Source: Web Of Science
Added: August 6, 2018

2011 journal article

IDENTIFYING THE SOURCES OF INSTABILITIES IN MACROECONOMIC FLUCTUATIONS

REVIEW OF ECONOMICS AND STATISTICS, 93(4), 1186–1204.

By: A. Inoue n & B. Rossi *

topics (OpenAlex): Monetary Policy and Economic Impact; Market Dynamics and Volatility; Complex Systems and Time Series Analysis
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Source: Web Of Science
Added: August 6, 2018

2011 journal article

Testing for weak identification in possibly nonlinear models

JOURNAL OF ECONOMETRICS, 161(2), 246–261.

By: A. Inoue & B. Rossi

author keywords: GMM; Shrinkage; Weak identification
topics (OpenAlex):
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Source: Web Of Science
Added: August 6, 2018

2010 journal article

TWO-SAMPLE INSTRUMENTAL VARIABLES ESTIMATORS

REVIEW OF ECONOMICS AND STATISTICS, 92(3), 557–561.

By: A. Inoue n & G. Solon*

topics (OpenAlex): Monetary Policy and Economic Impact; Efficiency Analysis Using DEA; Financial Risk and Volatility Modeling
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Source: Web Of Science
Added: August 6, 2018

2009 journal article

Do Actions Speak Louder Than Words ? Household Expectations of Inflation Based on Micro Consumption Data

JOURNAL OF MONEY CREDIT AND BANKING, 41(7), 1331–1363.

By: A. Inoue n, L. Kilian* & F. Kiraz n

author keywords: D12; D84; E31; inflation expectations; Consumer Expenditure Survey; Michigan Survey of Consumers; Survey of Professional Forecasters; Euler equation
topics (OpenAlex): Monetary Policy and Economic Impact; Housing Market and Economics; Financial Literacy, Pension, Retirement Analysis
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Source: Web Of Science
Added: August 6, 2018

2008 journal article

How useful is bagging in forecasting economic time series? A case study of US consumer price inflation

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 103(482), 511–522.

By: A. Inoue n & L. Kilian n

author keywords: Bayesian model averaging; bootstrap aggregation; factor model; forecast combination; forecasting model selection; pre testing; shrinkage estimation
topics (OpenAlex): Forecasting Techniques and Applications; Monetary Policy and Economic Impact; Market Dynamics and Volatility
TL;DR: The results show that bagging can achieve large reductions in prediction mean-squared errors even in such challenging applications as inflation forecasting; however, bagging is not the only method capable of achieving such gains. (via Semantic Scholar)
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10. Reduced Inequalities (OpenAlex)
Source: Web Of Science
Added: August 6, 2018

2007 journal article

Information in generalized method of moments estimation and entropy-based moment selection

JOURNAL OF ECONOMETRICS, 138(2), 488–512.

By: A. Hall n, A. Inoue n, K. Jana & C. Shin n

author keywords: long run canonical correlations; efficiency; near redundancy; weak identification
topics (OpenAlex): Advanced Statistical Methods and Models; Statistical Methods and Inference; Statistical Distribution Estimation and Applications
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Source: Web Of Science
Added: August 6, 2018

2007 article

The large sample behaviour of the generalized method of moments estimator in misspecified models (vol 114, pg 361, 2003)

Hall, A. R., & Inoue, A. (2007, December). JOURNAL OF ECONOMETRICS, Vol. 141, pp. 1418–1418.

By: A. Hall* & A. Inoue n

topics (OpenAlex): Statistical Methods and Inference
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Source: Web Of Science
Added: August 6, 2018

2006 article

Bootstrapping GMM estimators for time series

Inoue, A., & Shintani, M. (2006, August). JOURNAL OF ECONOMETRICS, Vol. 133, pp. 531–555.

By: A. Inoue n & M. Shintani *

author keywords: asymptotic refinements; block bootstrap; dependent data; Edgeworth expansions; instrumental variables
topics (OpenAlex): Monetary Policy and Economic Impact; Market Dynamics and Volatility; Global trade and economics
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Source: Web Of Science
Added: August 6, 2018

2006 journal article

On the selection of forecasting models

JOURNAL OF ECONOMETRICS, 130(2), 273–306.

By: A. Inoue n & L. Kilian*

author keywords: model selection; forecast accuracy; information criteria; simulated out-of-sample method; predictive least squares
topics (OpenAlex): Forecasting Techniques and Applications; Monetary Policy and Economic Impact; Financial Risk and Volatility Modeling
TL;DR: It is shown that under suitable conditions the IC method will be consistent for the best approximating model among the candidate models, while under standard assumptions the SOOS method will select over-parameterized models with positive probability, resulting in excessive finite-sample PMSEs. (via Semantic Scholar)
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Source: Web Of Science
Added: August 6, 2018

2006 journal article

Testing for the principal's monopsony power in agency contracts

EMPIRICAL ECONOMICS, 31(3), 717–734.

By: A. Inoue n & T. Vukina n

author keywords: oligopsony; principal-agent model; production contracts
topics (OpenAlex): Merger and Competition Analysis; Economics of Agriculture and Food Markets; Agricultural Economics and Policy
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UN Sustainable Development Goal Categories
1. No Poverty (Web of Science)
10. Reduced Inequalities (Web of Science)
Source: Web Of Science
Added: August 6, 2018

2005 journal article

Recursive predictability tests for real-time data

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 23(3), 336–345.

By: A. Inoue n & B. Rossi *

author keywords: model selection; predictive ability; sequential tests
topics (OpenAlex): Monetary Policy and Economic Impact; Market Dynamics and Volatility; Forecasting Techniques and Applications
TL;DR: The usefulness of the proposed test for predictive ability is shown in well-known empirical applications to the real-time predictive content of money for output and the selection between linear and nonlinear models. (via Semantic Scholar)
UN Sustainable Development Goals Color Wheel
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth (Web of Science; OpenAlex)
Source: Web Of Science
Added: August 6, 2018

2003 journal article

Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability

ECONOMETRIC THEORY, 19(6), 962–983.

By: A. Hall n, A. Inoue n & F. Peixe*

topics (OpenAlex): Monetary Policy and Economic Impact; Market Dynamics and Volatility; Financial Markets and Investment Strategies
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Source: Web Of Science
Added: August 6, 2018

2003 journal article

The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap

ECONOMETRIC THEORY, 19(6), 944–961.

By: A. Inoue n & L. Kilian

topics (OpenAlex): Statistical Methods and Inference; Financial Risk and Volatility Modeling; Monetary Policy and Economic Impact
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UN Sustainable Development Goal Categories
Source: Web Of Science
Added: August 6, 2018

2003 journal article

The large sample behaviour of the generalized method of moments estimator in misspecified models

JOURNAL OF ECONOMETRICS, 114(2), 361–394.

By: A. Hall n & A. Inoue n

author keywords: misspecification; generalized method of moments; asymptotic distribution theory
topics (OpenAlex): Statistical Distribution Estimation and Applications; Advanced Statistical Methods and Models; Statistical Methods and Inference
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Source: Web Of Science
Added: August 6, 2018

2002 journal article

Bootstrapping autoregressive processes with possible unit roots

ECONOMETRICA, 70(1), 377–391.

By: A. Inoue n & L. Kilian*

topics (OpenAlex): Fuzzy Systems and Optimization; Statistical Methods and Inference; Monetary Policy and Economic Impact
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UN Sustainable Development Goal Categories
2. Zero Hunger (OpenAlex)
Source: Web Of Science
Added: August 6, 2018

2002 journal article

Bootstrapping smooth functions of slope parameters and innovation variances in VAR(infinity) models

INTERNATIONAL ECONOMIC REVIEW, 43(2), 309–331.

By: A. Inoue n & L. Kilian*

topics (OpenAlex): Monetary Policy and Economic Impact; Italy: Economic History and Contemporary Issues; Global trade and economics
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Source: Web Of Science
Added: August 6, 2018

2002 journal article

Identifying the sign of the slope of a monotonic function via OLS

ECONOMICS LETTERS, 75(3), 419–424.

By: A. Inoue n

author keywords: monotonicity; OLS; weighted average derivatives
topics (OpenAlex): Advanced Statistical Methods and Models; Scientific Measurement and Uncertainty Evaluation; Multi-Criteria Decision Making
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UN Sustainable Development Goal Categories
Source: Web Of Science
Added: August 6, 2018

2001 journal article

Long memory and regime switching

JOURNAL OF ECONOMETRICS, 105(1), 131–159.

By: F. Diebold* & A. Inoue n

author keywords: regime switching; fractional integration; mixture model; stochastic permanent break (STOPBREAK) model; Markov-switching model; structural change
topics (OpenAlex): Market Dynamics and Volatility; Financial Risk and Volatility Modeling; Economic theories and models
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Source: Web Of Science
Added: August 6, 2018

2001 journal article

Testing for distributional change in time series

ECONOMETRIC THEORY, 17(1), 156–187.

By: A. Inoue n

topics (OpenAlex): Financial Risk and Volatility Modeling; Complex Systems and Time Series Analysis; Monetary Policy and Economic Impact
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UN Sustainable Development Goal Categories
Source: Web Of Science
Added: August 6, 2018

1999 journal article

Tests of cointegrating rank with a trend-break

JOURNAL OF ECONOMETRICS, 90(2), 215–237.

By: A. Inoue n

author keywords: cointegration; cointegrating rank; trend break
topics (OpenAlex): Monetary Policy and Economic Impact; Economic Theory and Policy; Economic theories and models
UN Sustainable Development Goals Color Wheel
UN Sustainable Development Goal Categories
1. No Poverty (OpenAlex)
Source: Web Of Science
Added: August 6, 2018

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