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 Yuzo Hosoya 
Updated 1st January, 2020
 


Birth Tokyo, 1943
Nationality Japanese
B.A. in Economics, University of Tokyo, awarded March 1966
M.A. in Economics, University of Tokyo, awarded March 1968
M.A. in Statistics, Yale University, awarded June 1970   Photo
Ph.D in Statistics, Yale University, awarded June 1974 (advisor: Barry H. Margolin)



Ulm University, Germany, September 2017
 


Teaching Positions
Associate Professor, Faculty of Economics, Tohoku University
  February 1973 - December 1986
Professor of Econometrics, Faculty of Economics, Tohoku University
  January 1987 - March 2006
Professor of Econometrics, Department of Economics, Meisei University
  April 2006 - March 2014
Visiting Professor, Institute of Statistics, Texas A&M University
  September 1981 - June 1982
Lecturer(part-time), Graduate School, Aomori Public College
  April 1998 - March 2006
Emeritus Professor, Tohoku University
  April 2006 -


Research Grants
British Council Scholarship
  January 1981 - September 1981
JSPS Grant-in-Aid for Scientific Researches
  1992, 1994, 1995, 1996, 1997, 1998, 1999, 2000, 2001, 2002, 2003,
  2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2013, 2014


Member
Institute of Mathematical Statistics (1976-2014), Fellow (elected in 2007)
Japan Statistical Society (1990-)
Japan Economic Society (2003-)


Associate Editor
Econometrica (1991-2000)
Journal of the Japan Statistical Society (1992-1997)
Mathematical Review (The American Mathematical Society) (Reviewer, 1998- )
  Hosoya Review History


Main Publications
Japanese translation of E.J. Hannan's Time Series Analysis (1960)
  Baihuukan Publishing Company, Tokyo, 1974
Time-Series Analysis section of Statistics Dictionary (in Japanese)
  Toyou Economic News Press, Tokyo, 1989
Coauthor of Advances in Economics and Econometrics, 7th World Congress of Econometric Society: Volume 3
  Chapter 1, Causal analysis and statistical inference on possibly non-stationary time series
   eds. D. Kreps & K.F. Wallis, Cambridge University Press, 1996
*Statistical Evidence and its Interpretations - enlarged edition (in Japanese)
  206 pages, Makino Publishing Company, Tokyo, 2002
Time-series related entries in Encyclopedia of Statistical Data Science (in Japanese)
  Asakura Publishing Company,Tokyo ,2007
Japanese translation of C.W.J. Granger's Empirical Modeling in Economics:
 Specification and Evaluation
(1999) with the translator's 28-page commentary
  114 pages, Makino Publishing Company, Tokyo, 2009
Japanese translation of H. Zeisel and D.H. Kaye's Prove It with Figures:
 Empirical Methods in Law and Litigation
(1997) with the translator's 8-page afterword
   355 pages, Makino Publishing Company, Tokyo, 2012
Characterizing Interdependencies of Multiple Time Series: Theory and Applications
 by Y. Hosoya, K. Oya, T. Takimoto and R. Kinoshita
   Springer Briefs in Statistics, Springer, 2017


On the Granger condition for non-causality
  Econometrica, vol.45, no.7, pp.1735-6, 1977
Discrete-time stable processes and their certain properties
  Annals of Probability, vol.6, no.1, pp.94-105, 1978
Robust linear extrapolations of second-order stationary processes
  Annals of Probability, vol.6, no.2, pp.574-84, 1978
High-order efficiency in the estimation of linear processes
  Annals of Statistics, vol.7, no.3, pp.516-30, 1979
Conditionality and maximum-likelihood estimation
  Recent Developments in Statistical Inference and Data Analysis
   (ed. Matusita, North Holland), pp.117-26, 1980
A central limit theorem for stationary processes
 and the parameter estimation of linear processes
  Annals of Statistics, vol.10, no.1, pp.132-53, 1982 (with M. Taniguchi)
Harmonizable stable processes
  Z. Warscheinlichkeits-theorie verw Gebiete, 60, pp.517-33, 1982
Information criteria and tests for time-series models
  Time-Series Analysis:Theory and Practice 5 (ed. O.D. Anderson, Elsevier Science), pp.39-52, 1984
A simultaneous test in the presence of nested alternative hypotheses
  Journal of Applied Probability, 23A, pp.187-200, 1986
Nested statistical models and a generalized likelihood ratio test
  Statistical Theory and Data Analysis II (ed. Matusita, North-Holland), 111-30, 1988, (with N.Terui)
The second-order Fisher information
  Biometrica, vol.75, no.2, pp.265-74, 1988
The bracketing condition for the limit theorems of stationary linear processes
  Annals of Statistics, vol.17, no.1, pp. 401-18, 1989
Hierarchical statistical models and a generalized likelihood ratio test
  Journal of the Royal Statistical Society, Sereis B, vol.51, no.3, pp.435-47, 1989
Ancillarity and the limited information maximum likelihood estimation in a structural equation
  Econometric Theory, vol.5, 385-404, 1989 (with Y.Tsukuda and N.Terui)
Information amount and the high-order efficiency in estmation
  Annals of the Institute of Statistical Mathematics, vol.42, no.1, pp.37-49, 1990
The decomposition and measurement of the interdependency
 between second-order stationary processes
  Probability Theory and Related Fields, vol.88, pp.429-44, 1991
Higher-order asymptotic theory of time-series analysis
  American Mathematical Society Sugaku Expositions, vol.4, no.2, pp.223-49, 1991 (with M.Taniguchi)
Limit theorems for statistical inference on stationary processes with strong dependence
  Statistical Sciences and Data Analysis (ed. Matusita),
   pp.151-64, International Science Publishers, 1993
The quasi-likelihood approach to statistical inference
 on multiple time-series with long-range dependence
  Journal of Econometrics, pp.217-36, vol.73, 1996
Some limit theorems on stationary processes with long-range dependence
  Athens conference on applied probability and time series: Volume 2, pp.233-45, 1996,
  eds. P.M. Robinson & R. Rosenblatt, Springer.
A limit theory for long-range dependence and statistical inference on related models
  The Annals of Statistics, vol.25, no.1, pp.105-37, 1997
A note on factirization of mutivariate ARMA spectra
  The Institute of Statistical Mathematics Cooperative Research Report, no.103, pp.60-69, 1997
Testing cointegration rank in the presence of structurel changes
  Annual Report of the Economic Society, Tohoku University,
   vol.61, no.4, pp.78-99, 2000 (with T.Takimoto)
Conditional asymptotic theory for near-integrated time series
  Annual Report of the Economic Society, Tohoku University,
   vol.62, no.2, pp.1-26, 2000 (with T.Saito)
Inference on one-way effect and evidence in Japanese macroeconomic data
  Journal of Econometrics, vol.98, no.2, pp.225-55, 2000 (with F.Yao)
Extended cointegration rank tests
  The 3rd Japan-U.S. Joint Seminor on Statistical Time Series Analysis,
   Abstracts of, pp.1-8, 2001
Elimination of third-series effect and defining partial measures of causality
  Journal of Time Series Analysis, vol.22, no.5, pp.537-54, 2001
An asymptotic theory for inference on general unit-root cointegration
  Annual Report of the Economic Society, Tohoku University,
   vol.64, no.3, pp.37-55, 2003
A three-step procedure for estimating and testing cointegrated ARMAX models
  Japanese Economic Review, vol.55, no.4, pp.418-450, 2004 (with T.Takimoto)
Testing the one-way effect in the presence of trend breaks
  Japanese Economic Review, vol.56, no.1, pp.107-126, 2005 (with F.Yao and T.Takimoto)
Fractional invariance principle
  Journal of Time Series Analysis, vol.26, no.3, pp.463-486, 2005
Inference on the cointegration rank and a procedure for VARMA root-modification
  Journal of the Japan Statistical Society, vol.36, no.2, pp.149-171, 2006 (with T.Takimoto)
A modified Box-Cox transformation in the multivariate ARMA model
  Journal of the Japan Statistical Society, vol.37, no.1, pp.1-24, 2007 (with T.Terasaka)
Inference on a set of statistical models
  Journal of the Japan Statistical Society, vol.38, no.1, pp.107-118, 2008
Canonical factorization of specral denisty matrices and the construction of causal measures
  Journal of The Japan Statistical Society (Japanese version), vol.38, no.2, pp.251-279 , 2009
Inference on transformed stationary time series
  Journal of Econometrics, vol.151, pp.129-139, 2009 (with T.Terasaka)
A numerical method for factorizing the rational spctral density matrix
  Journal of Time Series Analysis, vol. 31, pp. 229-240, 2010 (with T. Takimoto)


Discussion Paper
Time series causal analysis (with F.Yao)
  TERG No.151, Faculty of Economics, TohokuUniversity, 2001
A numerical method for factorizing the rational spectral densily matrix (with Taro Takimoto)
  Discussion Paper No.2006-5, Graduate School of Economics, Kyushu University, 2006
Measuring the partial causality in the frequency domain (with Taro Takimoto)
  Discussion Paper No.2012-4, Graduate School of Economics, Kyushu University, 2012
Partial measures of time-seires interdependence (with Taro Takimoto)
  Discussion Paper No.2013-9, Graduate School of Economics, Kyushu University, 2013


Presentation
A limit theory on stationary processes with long-range dependence
  Japan-U.S. Joint Seminor on Time Series Analysis, Honolulu, January, 1993.
Causal relations between possibly nonstationary time-series and related statistical inference
  Econometirc Society 7th World Congress, Tokyo, August, 1995.
Statistical causal analysis and its application to economic time-series
  1999 NBER/NSF Time Series Conference, Taipei, August, 1999.
An asymptotic test theory of the fractional cointegration rank
  Autumn Meeting of the Japanese Economic Association, Hiroshima, October, 2002.
Fitting the multivariate ARMA model to the Box-Cox transformed time-series
  The 2003 Japanese Joint Statistical Meeting, Nagoya, September, 2003. (with T.Terasaka)
A simultaneous Whittle likelihood-ratio test for the cointegration rank
  The 2003 Japanese Joint Statistical Meeting, Nagoya, September, 2003. (with T.Takimoto)
Modifying the Box-Cox transformation in a stationary time series set-up
  The 2004 Japanese Joint Statistical Meeting, Hanamaki, September, 2004. (with T.Terasaka)
Inference on the cointegration rank and a procedure for VARMA root-modification
  Autumn Meeting of the Japanese Economic Association, Tokyo, September, 2005. (with T.Takimoto)
A numerical evaluation method for factorizing the ARMA spectral matrix
  The 2005 Japanese Joint Statistical Meeting, Hiroshima, September, 2005 (with T.Takimoto)
Inference on transformed stationary time series
  Econometric Canference in honour of Peter Robinson, LSE, London, May, 2007.
Inference on partial causal measures in the frequency domain
   Spring Meeting of Japan Association of Applied Economics, Fukuoka, June, 2012 and
   Annual Meeting of Japan Statistical Society, Sapporo, September, 2012 (with T. Takimoto).
Measures of time-series interdependencies: inference and application
   Applied Probability and Time Series Workshop, Ulm University, Ulm, September, 2017.


Prize
The Tjalling Koopmans Econometric Theory Prize, (with Y. Tsukuda and N. Terui), 1992.
The Japanese Statistical Society Prize, 2006.