 | Associate Professor of Economics, Vanderbilt University Verified email at vanderbilt.edu Cited by 651 |
MJ Crucini… - Journal of Monetary Economics, 2008 - Elsevier
Using an extensive micro-price panel, we find a positive cross-sectional relationship
between LOP persistence and the distribution margin, which we measure using sectoral US
data, as suggested by the classical dichotomy. The median level of persistence (across ...
M Shintani… - Journal of Econometrics, 2004 - Elsevier
This paper derives the asymptotic distribution of the nonparametric neural network estimator
of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an
operational definition of chaos. We introduce a statistical framework for testing the chaotic ...
A Shibata… - Journal of International Money and Finance, 1998 - Elsevier
This paper proposes a new measure and test of international capital mobility. In order to
investigate capital flows, we utilize a small open economy version of Campbell and
Mankiw's [NBER Macroeconomic Annual (1989) 185–216] permanent income model. Our ...
A Inoue… - … , North Carolina State University, Raleigh, NC, 2001 - vanderbilt.edu
Abstract This paper establishes that the bootstrap provides asymptotic refinements for the
generalized method of moments estimator of overidentified linear models when
autocorrelation structures of moment functions are unknown. When moment functions are ...
JY Park… - Working Papers, 2005 - vanderbilt.edu
Abstract This paper considers the test of a unit root in transitional autoregressive models. In
particular, we develop the asymptotic theory of the inf-t test for the null hypothesis of a unit
root in a wide class of nonlinear autoregressive models having parameters that are ...
I Fujiwara, Y Hirose… - Journal of Money, Credit and …, 2011 - Wiley Online Library
We examine whether the news shocks, as explored in Beaudry and Portier (2004), can be a
major source of aggregate fluctuations. For this purpose, we extend a standard dynamic
stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) and ...
M Shintani… - International Economic Review, 2003 - Wiley Online Library
A positive Lyapunov exponent is one practical definition of chaos. We develop a formal test
for chaos in a noisy system based on the consistent standard errors of the nonparametric
Lyapunov exponent estimators. For international real output series, the hypothesis of the ...
A Serletis… - Chaos, Solitons & Fractals, 2003 - Elsevier
This paper uses recent advances in the field of applied econometrics and tools from
dynamical systems theory to test for random walks and chaos in the US stock market, using
daily observations on the Dow Jones Industrial Average (from January 3, 1928 to October ...
A Inoue… - Journal of Econometrics, 2006 - Elsevier
This paper considers the bootstrap for the GMM estimator of overidentified linear models
when autocorrelation structures of moment functions are unknown. When moment functions
are uncorrelated after finite lags, Hall and Horowitz,[1996. Bootstrap critical values for ...
F Ohtake… - Regional Science and Urban Economics, 1996 - Elsevier
Japanese housing price determination mechanisms are analyzed using the housing
demand index of demographic factors proposed by Mankiw and Weil (Regional Science and
Urban Economics, 1989, 19, 235–258). The distinctive feature of this paper is that we ...
M Shintani - Journal of Money, Credit and Banking, 2005 - JSTOR
This paper extends the diffusion index (DI) forecast approach of Stock and Watson (1998,
2002) to the case of possibly nonlinear dynamic factor models. When the number of series is
large, a two-step procedure based on the method of principal components is useful since ...
Volatile and persistent real exchange rates are observed not only in aggregate series but
also in the individual good level data. Kehoe and Midrigan (2007) recently showed that,
under a standard assumption on nominal price stickiness, empirical frequencies of micro ...
C Ahlin… - Journal of Monetary Economics, 2007 - Elsevier
We revisit a foundational theoretical paper in the menu-cost literature, Sheshinski and Weiss
[1983. Optimum pricing policy under stochastic inflation. Review of Economic Studies 50 (3),
513–529], one of the few to treat stochastic inflation with persistent deviations from trend. ...
M Shintani - Journal of econometrics, 2001 - Elsevier
This paper proposes a fully nonparametric test for cointegrating rank which does not require
estimation of a vector autoregressive model. The test exploits the fact that the degeneracy in
the moment matrix of the variables with mixed integration order corresponds to the notion ...
M Shintani - Journal of Applied Econometrics, 2006 - Wiley Online Library
It has been claimed that the deviations from purchasing power parity are highly persistent
and have quite long half-lives under the assumption of a linear adjustment of real exchange
rates. However, inspired by trade cost models, nonlinear adjustment has been widely ...
S Mototsugu - Journal of the Japanese and International Economies, 1994 - Elsevier
Abstract This paper examines the applicability of the permanent income hypothesis in Japan
and attempts to obtain new evidence concerning whether Japanese consumer behavior is
different from that of other countries. The analysis makes use of several types of ...
A Serletis… - Journal of Macroeconomics, 2006 - Elsevier
This paper uses tools from dynamical systems theory to investigate the properties of
Canadian and US money and velocity measures. In doing so, we follow the recent
contribution by Whang and Linton [Whang, Y.-J., Linton, O., 1999. The asymptotic ...
We examine the role of nominal price rigidities in explaining the deviations from the Law of
One Price (LOP) across cities in Japan. Focusing on intra-national relative prices isolates
the border effect and thus enables us to extract the pure effect of sticky prices. A two-city ...
Y Cai… - Econometric Theory, 2006 - Cambridge Univ Press
This paper investigates the effects of consistent and inconsistent long-run variance
estimation on a test for a unit root, based on the generalization of the von Neumann ratio+
The results from the Monte Carlo experiments suggest that the unit root tests based on an ...
Abstract It has been claimed that the deviations from purchasing power parity are highly
persistent and have quite long halfMlives under the assumption of a linear adjustment of real
exchange rates. However, inspired by trade cost models, nonlinear adjustment has been ...
K Yang… - Economics Letters, 2006 - Elsevier
The forward unbiasedness regression is revisited by varying the prediction horizons from 1
day to 1 year. The panel data suggests some possibility of a positive slope coefficient at a
short horizon while the negative coefficient improves forecasting performance at longer ...
DN Weymark… - 2006 - vanderbilt.edu
We propose a methodology for constructing operational indices of inflation pressure, the
monetary authority's effort to reduce this pressure, and the degree to which inflation pressure
is alleviated. We begin with model independent definitions of these concepts. When our ...
C Ahlin… - Journal of Monetary Economics, …, 2006 - carf.eu-tokyo.ac.jp
Abstract We revisit a foundational theoretical paper in the menu cost literature, Sheshinski
and Weiss (1983), one of the few to treat stochastic inflation with persistent deviations from
trend. In contrast to the original finding, we find that optimal pricing in this environment ...
S Takagi,
M Shintani… - Review of Economics and Statistics, 2004 - MIT Press
Data from Okinawa's monetary union with the United States in 1958 and with Japan in 1972
are used to obtain a quantitative indication of how monetary union might affect the behavior
of nominal and real shocks across two economies. With monetary union, the variance of ...
M Shintani, A Terada-Hagiwara… - Working Papers, 2009 - vanderbilt.edu
Abstract This paper investigates the relationship between the exchange rate passthrough
(ERPT) and inflation by estimating a nonlinear time series model. Using a simple theoretical
model of ERPT determination, we show that the dynamics of ERPT can be well- ...
[CITATION] iCan News Be a Major Source of Aggregate Fluctuations
I Fujiwara, Y Hirose… - A Bayesian DSGE Ap $ proach. jJournal of Money, …, 2010
JY Park… - 2008 - jeameetings.org
Abstract This paper considers a nonparametric testing procedure for the spatial dominance
at second-order (or higher), a variant of traditional stochastic dominance, appropriate when
the data is generated from nonstationary processes and observed in high-frequency. ...
M Shintani - Japanese Economic Review, 1996 - Wiley Online Library
The purpose of this paper is to test whether excess smoothness of consumption, which is not
consistent with the permanent income hypothesis (PIH), is observed in Japan. Two simple
testing procedures are employed and several measures of Japanese aggregate ...
M Shintani - Journal of Economic Dynamics and Control, 2008 - Elsevier
A method of principal components is employed to investigate nonlinear dynamic factor
structure using a large panel data. Imposing a common factor structure has practical merit in
reducing dimension for the nonparametric stability analysis of a large system. Under some ...
[CITATION] Finite sample performance of principal components estimators for dynamic factor models
M Shintani - Manuscript, Vanderbilt University, 2003
TA Finegan, RV Penaloza… - Indus. & Lab. Rel. Rev., 2007 - HeinOnline
This analysis, using Current Population Survey data, yields statistically compelling evidence
that cyclical variations in gross flows of US workers—that is, variations by business cycle
phase in the number of workers transitioning from one labor market state to another each ...
[CITATION] Is there chaos in the world economy
M Shintani… - A Nonparametric Test Using Consistent Standard …, 2001
[CITATION] Persistence in Law-of-One-Price deviations: evidence from micro-data
J Crucini Mario… - Department of Economics, Vanderbilt University, WP, 2002
[CITATION] Nippon no Shouhisha to Ryuudousei Seiyaku (Japanese Consumers and Liquidity Constraints: A Test Based on Credit Information)
M Shintani - Osaka Economic Papers, 1994
M Shintani - ISER Discussion Paper, 1993 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Excess Smoothness of Consumption. Mototsugu Shintani (). ...
Abstract We study the dynamics of goodMbyMgood real exchange rates using a
microMpanel of 270 goods prices drawn from major cities in 71 countries and 245 goods
prices drawn from 13 major US cities. We find halfMlives of deviations from the ...
A Inoue… - 2005 - vanderbilt.edu
Next, we will present the lemmas used in the proofs of the theorems. Lemma A. 1 produces a
Taylor series expansion of the studentized statistic fT. Lemma A. 2 provides bounds on the
moments and will be used in the proofs of Lemmas A. 3–A. 6. Lemma A. 3 shows the limits ...
Abstract We examine the role of nominal price rigidities in explaining the deviations from the
law of one price among cities in the same country. Focusing on intra-national relative price
isolates the border effect and thus enables us to extract the pure effect of sticky prices. A ...
[CITATION] International comovement: Is theory ahead of business cycle measurement?
DN Weymark… - 2003 - sv.uio.no
We propose a methodology for constructing operational indices of (i) inflationary
pressure,(ii) the willingness of the monetary authority to reduce this pressure, and (iii) the
degree to which inflationary pressure is alleviated. We begin with model independent ...
Abstract This paper investigates the spurious effect in forecasting asset returns when signals
from technical trading rules are used as predictors. Against economic intuition, the
simulation result shows that, even if past information has no predictive power, buy or sell ...
Abstract We examine the business cycles of the member countries of the G% 7 and Australia
based on the cyclical measure considered by Cochrane (1994). The measure is moti%
vated by the prediction that the represenative consumer changes savings in response to ...
Abstract This paper investigates the spurious effect in forecasting asset returns when signals
from technical trading rules are used as predictors. Against economic intuition, the
simulation result shows that, even if past information has non predictive power, buy or sell ...
We introduce the real exchange rate volatility curve as a useful device to understand the role
of price stickiness in accounting for deviations from the Law of One Price at the sector level.
In the presence of both nominal and real shocks, the theory predicts that the real ...
Abstract Volatile and persistent real exchange rates are observed not only in aggregate
series but also in the individual good level data. Kehoe and Midrigan (2007) recently
showed that, under a standard assumption on nominal price stickiness, empirical ...
J Angrist, G Kuersteiner,
EVG Fehr, JR Tyran… - en.scientificcommons.org
... Bringing Macroeconomics into the Lab. Roberto Ricciuti. Quantifying Inflation Pressure and
Monetary Policy Response in the United States: Diana N. Weymark,; Mototsugu Shintani.
International Observations of Monetary Policy Periods: Yamin Ahmad. ...
Y Cai… - 2004 - nd.edu
Abstract This paper investigates the effects of consistent and inconsistent longMrun variance
estimation on a unit root test based on the generalization of the von Neumann ratio. The
results from the Monte Carlo experiments suggest that the tests based on an inconsistent ...
Abstract We introduce the real exchange rate volatility curve as a useful device to
understand the role of price stickiness on the deviations from the Law of One Price at the
sectoral level. In the presence of both nominal and real shocks in the economy, theory ...
M Shintani… - Economics Bulletin, 2007 - ideas.repec.org
We discuss the effects of bundling two goods offered by two symmetric firms. This situation
requires the use of some sharing rule for the profits from the sales of the bundle. We show
that the choice of this rule may have substantial effects on prices and profits –even if the ...
Publication View. 44635783. Nonparametric econometrics for nonstationary and chaotic
data / (2000). Shintani, Mototsugu. Abstract. Thesis (Ph. D.)--Yale University, 2000.
Publication details. Download, http://worldcat.org/oclc/84949746. ...
M Shintani, T Yabu… - Journal of Econometrics, 2012 - Elsevier
Abstract This paper investigates the spurious effect in forecasting asset returns when signals
from technical trading rules are used as predictors. Against economic intuition, the
simulation result shows that, even if past information has no predictive power, buy or sell ...
YJ Lee, R Okui… - ncsu.edu
Abstract In this paper we consider the estimation of a dynamic panel autoregressive (AR)
process of possibly infinite order in the presence of individual effects. We utilize the sieve AR
approximation with its lag order increasing with the sample size. We establish the ...
We propose a simple saving-based measure of the cyclical component in GDP. The
measure is motivated by the prediction that the represenative consumer changes savings in
response to temporary deviations of income from its stochastic trend, while satisfying a ...
JY Park… - vanderbilt.edu
Abstract This paper revisits the international portfolio diversification using recent
highMfrequency international stock return series based on the MSCI index funds. Despite
considerable increase in foreign stock holdings by the US investor from 1% to 15% in the ...
Abstract This paper first constructs a business cycle index of Japanese economic activity
based on a dynamic factor model with a large data set, using a principal components
method employed by Stock and Watson (1998) in their analysis of the US diffusion index. ...
S Morimoto… - Discussion Papers in Economics and …, 2010 - econ.osaka-u.ac.jp
Abstract We extend the analysis of Campbell et al.(1993) on the relationship between the
first-order daily stock return autocorrelation and stock market trading volume by allowing
abrupt and smooth transition structures using lagged stock returns as a transition variable. ...
We build a single-country, two-city, model with nominal rigidities and transport costs which
predicts that variation of LOP deviations is lower for goods with infrequent price adjustment
after controlling for distance. We adapt the Engel and Rogers (1996) regression to ...
Using micro price data across US cities, we provide evidence that both the volatility and
persistence of deviations from the law of one price (LOP) are positively correlated with the
distance between cities. A standard, two-city, equilibrium model with time-varying ...
A Berentsen, BL Dorin, WZ Lin, O Linton… - lib.uoi.gr
Dorin, BL (with Shananin, AA) A turnpike theorem for a model of a production system with
financial constraints.(Russian. English and Russian summaries) 2003m: 91115 Lin, Wen-
Zhung (with Yang, Cheng-Chen) A dynamic portfolio choice model of tax evasion: ...
ZF Guo… - Economics Letters, 2011 - Elsevier
Abstract The lag selection procedure based on the. nal prediction error (FPE) is investigated
when the additive structure is a priori known in the non-parametric autoregression. The
consistency of the lag selection is proved, followed by the. nite sample simulation results.
[CITATION] Financial Forecasting, Sensitive Dependence
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