Profile

Biography

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

Departmental roles

• Research Cluster Leader, Econometrics
• Programme Director of MSc Economics and Econometrics
• Director, Undergraduate Econometrics Programmes
• PG Admissions, for MSc Economics and Econometrics
• PG Module Review Committee (ex officio Programme Director of MSc Economics and Econometrics)
• UG Final Examinations Committee (ex officio, UG Programme Director Econometrics)
• UG Module Review Committee (ex officio, UG Programme Director Econometrics)
• UG Progression Committee (ex officio, UG Programme Director Econometrics)
• Performance Reviewer

Research

Overview

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

Publications

Selected publications

Full details of publications can be found at RePEc

 

Norkute, M., Sarafidis, V., Yamagata, T., Cui, G., (2019), Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure, Journal of Econometrics, forthcoming.

Halunga, A., Orme, C.D., Yamagata, T., (2017),  A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models,  Journal of Econometrics 198, 2017, 209-230

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

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

Orme, C.D., Yamagata, T., (2006), The Asymptotic Distribution of the F-Test Statistic for Individual Effects, Econometrics Journal 9, 404-422.

Teaching

Undergraduate

First year

• Statistics I

Second Year

• Econometric Theory 2

Third year

• Applied Econometrics

Postgraduate

• Finance and Investment
• Statistics and Econometrics

Office & feedback hours during term time: 

 

Monday: 9am - 10am (please book in advance)

Monday: 1.30 - 2.30pm  (please book in advance)

Please note, due to Covid-19, these will be carried out virtually via Google Meet (or similar).

Other times may be available by email appointment.