Kazuhiko Hayakawa



Current Position

Professor
Department of Economics, Hiroshima University
1-2-1 Kagamiyama, Higashi-Hiroshima,  Hiroshima, Japan, 739-8525
TEL:  +81-82-424-7264

Curriculum Vitae


Education
Published Papers (Google Scholar citations)
  1. 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.

  2. 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)

  3. Hayakawa, K. (2016)
    " An Improved GMM Estimation of Panel VAR Models"
    Computational Statistics and Data Analysis, Vol. 100, pp. 240-264. (working paper version)

  4. 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)

  5. 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)

  6. 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

  7. 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.

  8. 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.

  9. 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)

  10. 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)

  11. 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)

  12. 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.

  13. 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.

  14. 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.

  15. 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.

  16. 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.

  17. 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.

  18. Hayakawa, K. (2006) 
    "A Note on the Bias in First Differenced AR(1) Model
    Economics Bulletin, Vol. 3, No.27 pp. 1-10.



Working Papers (Econ PapersIDEASAccess StatisticsSSRN)
  1. Hayakawa, K. (2017/05)
    " Alternative Over-Identifying Restriction Test in the GMM Estimation of Panel Data Models"

  2. Hayakawa, K. and M. Qi (2017/05)
    " Further Results on the Weak Instruments Problem of the System GMM Estimator in Dynamic Panel Data Models"

  3. Hayakawa, K. and Q. Sun (2017/04)
    " Instrumental Variable Estimation of Factor Models with Possibly Many Variables"

  4. Hayakawa, K. and B. Ge (2017/03)
    " GMM and ML Estimation of Dynamic Panel Data Models with Heterogeneous Time Trends"

  5. Hayakawa, K. and J. Hou (2017/02)
    " Estimation of Time-Varying Coefficient Dynamic Panel Data Models"

  6. K. Hayakawa, M. Qi and J. Breitung (2017/01)
    " Double Filter Instrumental Variable Estimation of Panel Data Models with Weakly Exogenous Variables"

  7. Hayakawa, K. (2017/11)
    " Corrected Goodness of Fit Test in Covariance Structure Analysis"
        Sample R code can be found here

  8. Hayakawa, K. (2017/01)
    " The Weak Instruments Problem in Factor Models"

  9. Hayakawa, K., M. H. Pesaran, V. L. Smith (2014/05)
    " Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects"