| Yuzo Hosoya |  |
Updated 24th July, 2024
|
 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) | |
Review
| Mathematical Review (The American Mathematical Society) (Reviewer, 1998- ) Publication History of Mathematical Reviews by Yuzo Hosoya |
| 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. |
| Extending causality-related interdependence measures PDF |
| Waseda International Symposium, Waseda University, October, 2018. |
Prize
| The Tjalling Koopmans Econometric Theory Prize, (with Y. Tsukuda and N. Terui), 1992. |
| The Japanese Statistical Society Prize, 2006. |