Hiroshi Yamada

Last Updated :2018/01/12

Affiliations, Positions
Graduate School of Social Sciences, ., Professor

Basic Information

Academic Degrees

  • Ph.D. in Economics, University of Tsukuba
  • M.A., University of Tsukuba
  • B.A., Hiroshima University

Research Fields

  • Social sciences;Economics;Economic statistics
  • Social sciences;Economics;Economic policy

Research Keywords


Educational Activity

Course in Charge

  1. 2017, Undergraduate Education, 3Term, Special Lectures(Computer Programming for Econometric Methods)
  2. 2017, Undergraduate Education, 4Term, Statistics 2
  3. 2017, Undergraduate Education, First Semester, Introduction to Statistics
  4. 2017, Undergraduate Education, Year, Bachelor's Thesis
  5. 2017, Graduate Education (Doctoral Program) , Second Semester, Special Seminar in Socio-Economic Studies
  6. 2017, Graduate Education (Master's Program) , First Semester, Special Topics
  7. 2017, Graduate Education (Master's Program) , Second Semester, Special Topics
  8. 2017, Graduate Education (Master's Program) , 1Term, Econometrics 1
  9. 2017, Graduate Education (Doctoral Program) , First Semester, Special Seminar in Socio-Economic Studies

Research Activities

Academic Papers

  1. Several Least Squares Problems Related to the Hodrick-Prescott Filtering, Communications in Statistics – Theory and Methods, 47(5), 1022-1027, 20180104
  2. A Trend Filtering Method Closely Related to l1 Trend Filtering, Empirical Economics, 20171219
  3. Why Does the Trend Extracted by the Hodrick-Prescott Filtering Seem to be More Plausible Than the Linear Trend?, Applied Economics Letters, 20170317
  4. The Frisch–Waugh–Lovell theorem for the lasso and the ridge regression, Communications in Statistics - Theory and Methods, 46(21), 10897-10902, 20161102
  5. A small but practically useful modification to the Hodrick–Prescott filtering: A note, Communications in Statistics - Theory and Methods, 46(17), 8430-8434, 20160811
  6. Measuring the US NAIRU as a step function, Empirical Economics, 51(4), 1679-1688, 20160104
  7. Estimating the Trend in US Real GDP Using the ℓ1 Trend Filtering, Applied Economics Letters, 24(10), 713-716, 20160928
  8. Ridge Regression Representations of the Generalized Hodrick-Prescott Filter, Journal of the Japan Statistical Society, 45(2), 121-128, 201512
  9. Selecting the Tuning Parameter of the l1 Trend Filter, Studies in Nonlinear Dynamics and Econometrics, 20(1), 97-105, 20150610
  11. When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices, JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 42, 193-207, 20140430
  12. Estimating the time-varying NAIRU and the Phillips curve slope simultaneously: a note, APPLIED ECONOMICS LETTERS, 21(15), 1057-1059, 20141013
  13. Is the Productivity-Based Explanation for the Time-Varying US NAIRU Valid?, Journal of Statistical Science and Application, 2(4), 119-123, 201404
  14. Japan's output gap estimation and l(1) trend filtering, EMPIRICAL ECONOMICS, 45(1), 81-88, 20130801
  15. A Note on Bandpass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators, Journal of Business Cycle Measurement and Analysis, 2011(2), 105-109, 05 Jan 2012
  16. A comparison of two alternative composite leading indicators for detecting Japanese business cycle turning points, Applied Economics Letters, 17, 875-879, 20100614
  17. An Evaluation of the Japanese Leading Indicators, Journal of Business Cycle Measurement and Analysis, 3(2), 217-233, 20070501
  18. Wavelet-based beta estimation and Japanese industrial stock prices, APPLIED ECONOMICS LETTERS, 12(2), 85-88, FEB 10 2005
  19. Do Stock Prices Contain Predictive Information on Business Turning Points? A Wavelet Analysis, Applied Financial Economics Letters, 1(1), 19-23, 20050101
  20. Nonlinear Co-trending and the Fisher Relation in Japan: A Note, Applied Financial Economics Letters, 1(5), 285-287, 20050301
  21. Some Monte Carlo Evidence on the Hypothesis Tsting for the Mean of the Stationary Vector Autoregressive Process, MODSIM 2003 Proceedings, 1251-1256, 20030701
  22. On the linkage of real interest rates between the US and Canada: some additional empirical evidence, Journal of International Financial Markets, Institutons and Money, 12(3), 279-289, 20020701
  23. Real Interest Rate Equalization: Some Empirical Evidence from the Three Major World Financial Markets, Applied Economics, 34(16), 2069-2073, 20021101
  24. M2 Demand Relation and Effective Exchange Rate in Japan: A Cointegration Analysis, Applied Economics Letters, 7(4), 229-232, 20000401
  25. Empirical Evidence for the Export Promotion Strategies, Applied Economics Letters, 6(12), 775-778, 19991201
  26. Inference in Possibly Integrated Vector Autoregressive Models: Some Finite Sample Evidence, Journal of Econometrics, 86(1), 55-95, 19980901
  27. A Note on the Causality between Export and Productivity: An Empirical Re-examination, Economics Letters, 61(1), 111-114, 19980101
  28. A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression, Economics Letters, 56(1), 27-39, 19970901

Publications such as books

  1. 2003/07, Co-trending: A Statistical System Analysis of Economic Trends, Springer-Verlag Tokyo, 2003, 07, Michio Hatanaka Hiroshi Yamada, 115

Invited Lecture, Oral Presentation, Poster Presentation

  1. Quantile Hodrick-Prescott Filtering, Hiroshi Yamada, Kansai Keiryo Keizaigaku Kenkyukai (KKKK), 2017/01/07, Without Invitation, Hiroshima University
  2. Quantile Hodrick-Prescott Filtering, Hiroshi Yamada, HU-CU Joint Research Workshop on Applied Economics, 2016/12/05, Without Invitation, Hiroshima University, Hiroshima University
  3. Qunatile Hodrick-Prescott Filtering, Hiroshi Yamada, 2016 Japan-Korea Allied Conference in Econometrics, 2016/11/19, Without Invitation, Hitotsubashi University
  4. Qunatile Hodrick-Prescott Filtering, Hiroshi Yamada, HOKKAIDO INTERNATIONAL SYMPOSIUM: Recent Developments of Statistical Theory in Statistical Science, 2016/10/26, Without Invitation, Hokkaido University
  5. Pure l1 Trend Filtering, Hiroshi Yamada, CIRET 2016, 2016/09/16, Without Invitation, Copenhagen
  6. Whittaker-Henderson Graduation Provides BLUP, Hiroshi Yamada, 2016 HU-HUE-SMU Tripartite Conference, 2016/03/24, Without Invitation, Singapore Management University, Singapore
  7. A Small But Practically Useful Modification to the l1 Trend Filtering, Hiroshi Yamada, 12th International Symposium on Econometric Theory and Applications, 2016/02/17, Without Invitation, Hamilton, New Zealand
  8. Ridge Regression for Extracting the Hodrick-Prescott Cycle Directly and Several Related Results, Hiroshi Yamada, Friday Seminar, 2015/09/04, Without Invitation, Graduate School of Science, Hiroshima University
  9. Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, 2015 HEU-HU-SMU Tripartite Conference, 2015/03/27, Without Invitation, Singapore
  10. A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, 2014 Hitotsubashi-Sogang Conference on Econometrics, 2014/12/13, Without Invitation, Seoul, Republic of Korea
  11. A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, Workshop in Economics between Faculty of Economics, Chulalongkorn University an Faculty of Economics, Hiroshima University, 2014/09/25, Without Invitation, Bangkok, Thailand
  12. Estimating the Time-Varying NAIRU and the Phillips Curve Slope Simultaneously, Hiroshi Yamada, SMU-NTU-HUE-HU International Conference on Economics and Econometrics, 2014/03/25, Without Invitation, Hiroshima, Japan

External Funds

Acceptance Results of Competitive Funds

  1. KAKENHI, 2016, 2020
  2. KAKENHI, 2015, 2017
  3. KAKENHI, 2010, 2014
  4. KAKENHI, Business Cycle Analysis Using Band-Pass Filter, 2007, 2009
  5. KAKENHI, Developing New Business Cycle Composite Indicators Using Wavelet Analysis, 2005, 2006
  6. KAKENHI, 2002, 2003
  7. KAKENHI, Analysis of stationary ans non-stationary economic time series with structural changes, 2002, 2004
  8. 2014/01/28, 2015/03/31
  9. 2011

Social Activities

History as Peer Reviews of Academic Papers

  1. 2016, Econometrics and Statistics, Referee, 2
  2. 2016, Empirical Economics, Referee, 1
  3. 2016, Journal of Applied Statistics, Referee, 1