Professor
Department of Economics, Hiroshima University
1-2-1 Kagamiyama, Higashi-Hiroshima, Hiroshima, Japan, 739-8525
TEL: +81-82-424-7264
Education
- 2007 Ph.D (Economics) Hitotsubashi University, Tokyo, Japan
- 2005 M.A. (Economics) Hitotsubashi University, Tokyo, Japan
- 2001 B.A. (Economics) Keio University, Tokyo, Japan
Published Papers (Google Scholar citations)
- Hayakawa, K. and M. Qi (2020)
" Further Results on the Weak Instruments Problem of the System GMM Estimator in Dynamic Panel Data Models"
Oxford Bulletin of Economics and Statistics, Vol. 82, Issue. 2, pp. 453-481. (working paper version) - Hayakawa, K. (2020)
" The Weak Instruments Problem in Factor Models"
Behaviormetrika, Vol. 47, pp. 123-157. (working paper version) - K. Hayakawa, M. Qi and J. Breitung (2019)
" Double Filter Instrumental Variable Estimation of Panel Data Models with Weakly Exogenous Variables"
Econometric Reviews, Vol. 38, Issue. 9, pp. 1055-1088. (working paper version) - Hayakawa, K. and J. Hou (2019)
" Estimation of Time-Varying Coefficient Dynamic Panel Data Models"
Communications in Statistics - Theory and Methods, Vol. 48, Issue 13, pp. 3311-3324.(working paper version) - Hayakawa, K. and Q. Sun (2019)
" Instrumental Variable Estimation of Factor Models with Possibly Many Variables"
Communications in Statistics - Simulation and Computation, Vol. 48, Issue 6, pp.1729-1745.(working paper version) - Hayakawa, K. (2019)
" Corrected Goodness of Fit Test in Covariance Structure Analysis"
Psychological Methods, Vol. 24, Issue 3, pp. 371-389. (working paper version)
- Sample R code can be found here - Hayakawa, K. (2019)
" Alternative Over-Identifying Restriction Test in the GMM Estimation of Panel Data Models"
Econometrics and Statistics, Vol. 10, pp. 71-95. (working paper version) - Ginama, I., K. Hayakawa and T. Kanmei (2018)
" Examining the Feldstein-Horioka Puzzle Using Common Factor Panels and Interval Estimation"
Japan and the World Economy, Vol. 48, pp. 11-21. - Hayakawa, K. (2018)
" Corrected Standard Errors for Optimal Minimum Distance Estimator"
Economics Letters, Vol. 167, pp. 5-9. (working paper version) - Hayakawa, K. (2017)
" A Unit Root Test for Short Panels with Serially Correlated Errors"
Communications in Statistics - Theory and Methods, Vol. 46, Issue 8, pp. 3891-3900. - Hayakawa, K. (2016)
" On the Effect of Weighting Matrix in GMM Specification Test"
Journal of Statistical Planning and Inference, Vol. 178, pp. 84-98.(working paper version) - Hayakawa, K. (2016)
" An Improved GMM Estimation of Panel VAR Models"
Computational Statistics and Data Analysis, Vol. 100, pp. 240-264. (working paper version) - Hayakawa, K. and S. Nagata (2016)
" On the Behavior of the GMM Estimator in Persistent Dynamic Panel Data Models with Unrestricted Initial Conditions"
Computational Statistics and Data Analysis, Vol. 100, pp. 265-303. (working paper version) - Hayakawa, K. (2016)
" Identification Problem of GMM Estimators for Panel Data Models with Interactive Fixed Effects"
Economics Letters, Vol. 139, pp. 22-26. (working paper version) - Hayakawa, K. and M. H. Pesaran (2015)
" Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models with Cross-Sectional Heteroskedasticity"
Journal of Econometrics, Vol. 188, Issue 8, pp. 111-134. (working paper version)
Matlab code can be found here
Stata code is developed by Dr. Kripfganz - Hayakawa, K. (2015)
" The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large"
Econometric Theory, Vol. 31, Issue 3, pp. 647-667. - Hayakawa, K. (2012)
" GMM Estimation of Short Dynamic Panel Data Model with Interactive Fixed Effects"
Journal of the Japan Statistical Society, Vol. 42, Issue 2, pp. 109-123.
- Hayakawa, K. (2010)
" The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models: Some Additional Results"
Journal of Econometrics, Vol. 159, Issue 1, pp. 202-208. (working paper version) - Hayakawa, K. (2009)
"On the Effect of Mean-Nonstationarity in Dynamic Panel Data Models"
Journal of Econometrics, Vol. 153, Issue 2, pp. 133-135. (working paper version) - Hayakawa, K. (2009)
"A Simple Efficient Instrumental Variable Estimator in Panel AR(p) Models When Both N and T are Large"
Econometric Theory, Vol. 25, Issue 3, pp. 873-890.
(RBNZ-NZESG Award 2008) - Kurozumi, E. and K. Hayakawa (2009)
"The Asymptotic Properties of Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors"
Journal of Econometrics, Vol. 149, Issue 2, pp. 118-135. - Hayakawa, K. (2009)
"First-Difference or Forward Orthogonal Deviation: Which transformation to Use in Dynamic Panel Data Models?: A Simulation Study"
Economics Bulletin, Vol.29, No. 3, 2014-2023. - Hayakawa, K. and M. Nogimori (2010)
"New Transformation Methods in Dynamic Panel Data Models with Heterogeneous Time Trends"
Applied Economics Letters, Vol. 17, Issue 4, pp. 375-379. - Hayakawa, K. and E. Kurozumi (2008)
"The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models"
Mathematics and Computers in Simulation, Vol. 79, Issue 3, pp 555-560.
- Hayakawa, K. (2007)
"Consistent OLS Estimation of AR(1) Dynamic Panel Data Models with Short Time Series"
Applied Economics Letters, Vol. 14, Issue 15, pp. 1141-1145. - Hayakawa, K. (2007)
"Small Sample Bias Properties of the System GMM Estimator in Dynamic Panel Data Models"
Economics Letters, Vol. 95, Issue 1, pp. 32-38. - Hayakawa, K. (2006)
"A Note on the Bias in First Differenced AR(1) Model"
Economics Bulletin, Vol. 3, No.27 pp. 1-10.