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
UN Sustainable Development Goal Categories
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
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
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
Source: Web Of Science
Added: August 6, 2018

2010 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*

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*

UN Sustainable Development Goal Categories
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
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
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)
UN Sustainable Development Goal Categories
10. Reduced Inequalities (OpenAlex)
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

UN Sustainable Development Goal Categories
Source: Web Of Science
Added: August 6, 2018

2006 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
UN Sustainable Development Goal Categories
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
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 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
UN Sustainable Development Goal Categories
Source: Web Of Science
Added: August 6, 2018

2005 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
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)
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
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)
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*

UN Sustainable Development Goal Categories
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

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
UN Sustainable Development Goal Categories
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*

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*

UN Sustainable Development Goal Categories
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
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
UN Sustainable Development Goal Categories
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

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
UN Sustainable Development Goal Categories
1. No Poverty (OpenAlex)
Source: Web Of Science
Added: August 6, 2018

Citation Index includes data from a number of different sources. If you have questions about the sources of data in the Citation Index or need a set of data which is free to re-distribute, please contact us.

Certain data included herein are derived from the Web of Science© and InCites© (2024) of Clarivate Analytics. All rights reserved. You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.