Professor Takashi Yamagata



  • BA(Ritsumeikan)
  • MA(Manchester)
  • PhD(Manchester)

Departmental roles

  • Research Cluster Leader, Econometrics
  • UG Programme Advisor for Joint Economics and Mathematics Programmes
  • Programme Director of MSc Economics and Econometrics
  • Member, Departmental Research Committee
  • PG Admissions, for Economics and Econometrics
  • PG Module Review Committee (ex officio Programme Director of MSc Economics and Econometrics)
  • Performance Reviewer



  • Panel data econometrics
  • Microeconometrics
  • (Applied) macro/micro/financial econometrics
  • Statistics


Selected publications

Full details of publications can be found at RePEc

Pesaran, M.H., L.V. Smith, T. Yamagata (2013), Panel unit root tests in the presence of a multifactor error structure, Journal of Econometrics, 175, 94-115.

Orme, C.D., T. Yamagata (2012), A Heteroskedasticity-Robust F-Test Statistic for Individual Effects, Econometric Reviews, forthcoming.

Smith, L.V., T. Yamagata (2011), Firm Level Return-Volatility Analysis Using Dynamic Panels, Journal of Empirical Finance, 18, 847-867.

Kapetanios G., M.H. Pesaran, T. Yamagata (2011), Panels with Nonstationary Multifactor Error Structures, Journal of Econometrics 160, 326-348.

Holly, S., M.H. Pesaran, T. Yamagata (2011), Spatial and Temporal Diffusion of House Prices in the UK, Journal of Urban Economics 69, 2-23.

Holly, S., M.H. Pesaran, T. Yamagata (2010), A Spatio-Temporal Model of House Prices in the US, Journal of Econometrics 158, 160-173.

Pesaran, M.H., Smith, R.P., Yamagata, T., Hvozdyk, L., (2009). Pairwise Tests of Purchasing Power Parity. Econometric Reviews 28, 495-521.

Sarafidis, V., T. Yamagata, D. Robertson (2009), A Test of Cross Section Dependence for a Linear Dynamic Panel Model with Regressors, Journal of Econometrics 148, 149-61.

Yamagata, T. (2008), A Joint Serial Correlation Test for Linear Panel Data Models, Journal of Econometrics 146, 134-145.

Pesaran, M.H., Ullah, A., Yamagata, T, (2008), A Bias-Adjusted LM Test of Error Cross Section Independence, Econometrics Journal 11, 105-127.

Pesaran, M.H., Yamagata, T, (2008), Testing Slope Homogeneity in Large Panels, Journal of Econometrics 142, 50–93.



First year

  • Statistics I

Third year

  • Applied Econometrics


  • Finance and Investment
  • Statistics and Econometrics

Takashi Yamagata

Takashi Yamagata
Department of Economics
Room: A/EC/018

Tel: 01904 323758 
CV Takashi Yamagata (PDF  , 21kb)‌ 

Office and Feedback hours (Autumn Term): Tuesday 9:30-11:30. Please book a 15min slot using the google calendar in advance.