Hisashi Tanizaki's Homepage

Personal History

• Born in 1962 (Osaka, Japan).

  Education

• Department of Economics, Kwansei-Gakuin University, B.A., 1985.
• Department of Economics, Kobe University, M.A., 1987.
• Graduate Group in Economics, University of Pennsylvania, Ph.D., 1991.

  Career

• Assistant Professor, Department of Economice, Kobe-Gakuin University, 1992.
• Associate Professor, Department of Economics, Kobe-Gakuin University, 1994.
• Associate Professor, Faculty of Economics, Kobe University, 1995.
• Visiting Scholar, Department of Economics, University of Minnesota (Sep, 1996-Sep, 1997).
• Visiting Scholar, Department of Economics, Georgetown University (Dec, 2002).
• Professor, Graduate School of Economics, Kobe University, 2003.
• Professor, Graduate School of Economics, Osaka University, 2011.
• Professor, Graduate School of Economics, Osaka University, 2011.
• Vice Director, Center for the Study of Finance and Insurance (CSFI), Osaka University (Aug., 2014 - Sep., 2015).
• Vice Director, Center for Mathematical Modeling and Data Science (MMDS), Osaka University (Oct. 1, 2015 - Aug. 25, 2017).
• Dean, Graduate School of Economics, Osaka University (Aug. 26, 2017 -)

Major

• Prediction, Filtering and Smoothing under Nolinearity and Nonnormality.
• Small Sample Properties of Nonparametric Tests.
• Bias Correction of OLSE under Autoregressive Models.

Books

1. K. Mizobuchi and H. Tanizaki (2018) The Power-Saving Behavior of Households: How Should We Encourage Power Saving?, Nova Science Publishers, Inc.
   
   
2. H. Tanizaki (2004) Computational Methods in Statistics and Econometrics (STATISTICS: textbooks and monographs, Vol.172), CRC Press. Download (PDF file) ====> (Corrections)
   
   
3. H. Tanizaki (1996) Nonlinear Filters: Estimation and Applications (Second, Revised and Enlarged Edition), Springer-Verlag. Download (PDF file)
   
   
4. H. Tanizaki (1993) Nonlinear Filters: Estimation and Applications (Lecture Notes in Economics and Mathematical Systems, No.400), Springer-Verlag.

Book Chapters

1. H. Tanizaki (2010) "Disturbance Terms," in Encyclopedia of Research Design (N.J. Salkind, Eds.), pp.381-383, SAGE Publications, Inc. Download (PDF file)
   
   
2. K. Kakamu, H. Wago and H. Tanizaki (2010) "Estimation of Regional Business Cycle in Japan using Bayesian Panel Spatial Autoregressive Probit Model," in Handbook of Regional Economics (Tomas P. Nolin, Eds.), Chap.22, pp.555-571, Nova Science Publishers, Inc. Download (PDF file)
   
   
3. S. Hamori and H. Tanizaki (2008) "Structural VAR Approach to the Sources of Exchange Rate Fluctuations in Sub-Saharan African Countries," in Economics of Developing Countries (T.N. Caldeira, Eds.), Chap.1, pp.1-17, Nova Science Publishers, Inc. Download (PDF file)
   
   
   
4. H. Tanizaki (2003) "Nonlinear and Non-Gaussian State-Space Modeling with Monte Carlo Techniques: A Survey and Comparative Study," in Handbook of Statistics, Vol.21: Stochastic Processes: Modeling and Simulation (C.R. Rao and D.N. Shanbhag, Eds.), Chap.22, pp.871-929, North-Holland. Download (PDF file)
   
   
   
5. R.S. Mariano and H. Tanizaki (2000) "Simulation-Based Inference in Non-Linear State Space Models: Application to Testing the Permanent Income Hypothesis," in Simulation-Based Inference in Econometrics: Methods and Applications (R.S. Mariano, M. Weeks and T. Schuermann, Eds.), Chap.9, pp.218-234, Cambridge University Press. Download (PDF file)
   
   
6. H. Tanizaki and R.S. Mariano (1995) "Prediction, Filtering and Smoothing in Nonlinear and Nonnormal Cases using Monte-Carlo integration," in Econometric Inference Using Simulation Techniques (H.K. van DijK, A. Manfort and B.W. Brown, Eds.), Chap.12, pp.245-261, John Wiley & Sons. Download (PDF file)

Papers

1. Donglian Ma and Hisashi Tanizaki (2019) "On the day-of-the-week effects of Bitcoin markets: international evidence", China Finance Review International. (DOI).
   
   
2. Donglian Ma and Hisashi Tanizaki (2019) "Fat-tailed stochastic volatility model and the stock market returns in China", China Finance Review International. (DOI).
   
   
3. D. Ma and H. Tanizaki (2019) "The day-of-the-week effect on Bitcoin return and volatility," Research in International Business and Finance, Vol.49, pp.127-136. (DOI).
   
   
4. K. Mizobuchi and H. Tanizaki (2014) "On Estimation of Almost Ideal Demand System Using Moving Blocks Bootstrap and Pairs Bootstrap Methods," Empirical Economics, Vol.47, No.4, pp.1221-1250. DOI 10.1007/s00181-013-0782-6
   
   
5. H. Tanizaki and A. Namba (2010) "Simulation Studies on Cressie-Read Power Divergence Test Statistic under Empirical Likelihood Setup," Kobe University Economic Review, Vol.55, pp.35-51. Download (PDF file)
   
   
6. H. Tanizaki and S. Hamori (2009) "Volatility Transmission between Japan, UK and USA in Daily Stock Returns," Empirical Economics, Vol.36, No.1, pp.27-54. Download (PDF file)
   
   
7. H. Tanizaki (2008) "A Simple Gamma Random Number Generator for Arbitrary Shape Parameters," Economics Bulletin, Vol.3, No.7, pp.1-10. Download (PDF file)
   
   
8. H. Tanizaki (2007) "On Small Sample Properties of Permutation Tests: A Significance Test for Regression Models," Kobe University Economic Review, Vol.52, pp.27-40. Download (PDF file)
   
   
9. S. Hamori, H. Tanizaki and Y. Matsubayashi (2006) "An Empirical Analysis on the Business Cycle Transmission between Japan and the United States," The Eurasian Review of Economics and Finance, Vol.2, No.2, pp.1-8. Download (PDF file)
   
   
10. H. Tanizaki, S. Hamori and Y. Matsubayashi (2006) "On Least-Squares Bias in the AR(p) Models: Bias Correction Using the Bootstrap Methods," Statistical Papers, Vol.47, No.1, pp.109-124. Download (PDF file)
    
    
11. H. Tanizaki (2005) "Power Comparison of Empirical Likelihood Ratio Tests: Small Sample Properties through Monte Carlo Studies," Kobe University Economic Review, Vol.50, pp.13-25. Download (PDF file)
    
    
12. H. Tanizaki (2004) "On Asymmetry, Holiday and Day-of-the-Week Effects in Volatility of Daily Stock Returns: The Case of Japan," Journal of the Japan Statistical Society, Vol.34, No.2, pp.129-152. Download (PDF file)
    
    
13. K. Ohtani and H. Tanizaki (2004) "Exact Distributions of R² and Adjusted R² in a Linear Regression Model with Multivariate t Error Terms," Journal of the Japan Statistical Society, Vol.34, No.1, pp.101-109. Download (PDF file)
    
    
14. H. Tanizaki (2004) "On Small Sample Properties of Permutation Tests: Independence Test between Two Samples," International Journal of Pure and Applied Mathematics, Vol.13, No.2, pp.235-243. Download (PDF file)
    
    
15. H. Tanizaki (2003) "On Regression Models with Autocorrelated Error: Small Sample Properties," International Journal of Pure and Applied Mathematics, Vol.5, No.2, pp.161-175. Download (PDF file)
    
    
16. J. Geweke and H. Tanizaki (2003) "Note on the Sampling Density for the Metropolis-Hastings Algorithm," Communications in Statistics, Theory and Methods, Vol.32, No.4, pp.775-789. Download (PDF file)
    
    
17. J. Geweke and H. Tanizaki (2001) "Bayesian Estimation of State-Space Model Using the Metropolis-Hastings Algorithm within Gibbs Sampling," Computational Statistics and Data Analysis, Vol.37, No.2, pp.151-170. Download (PDF file)
    
    
18. H. Tanizaki and X. Zhang (2001) "Posterior Analysis of the Multiplicative Heteroscedasticity Model," Communications in Statistics, Theory and Methods, Vol.30, No.5, pp.855-874. Download (PDF file)
    
    
19. H. Tanizaki (2001) "Estimation of Unknown Parameters in Nonlinear and Non-Gaussian State Space Models," Journal of Statistical Planning and Inference, Vol.96, No.2, pp.301-323. Download (PDF file)
    
    
20. H. Tanizaki (2001) "Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques," Annals of the Institute of Statistical Mathematics, Vol.53, No.1, pp.63-81. Download (PDF file)
    
    
21. H. Tanizaki (2000) "Nonlinear and Non-Gaussian State Estimation: A Quasi-Optimal Estimator," Communications in Statistics, Theory and Methods, Vol.29, No.12, pp.2805-2834. Download (PDF file)
    
    
22. H. Tanizaki (2000) "Bias Correction of OLSE in the Regression Model with Lagged Dependent Variables," Computational Statistics and Data Analysis, Vol.34, No.4, pp.495-511. Download (PDF file)
    
    
23. H. Tanizaki (2000) "Time-Varying Parameter Model Revisited," Kobe University Economic Review, Vol.45, pp.41-57. Download (PDF file)
    
    
24. J. Geweke and H. Tanizaki (1999) "On Markov Chain Monte Carlo Methods for Nonlinear and Non-Gaussian State-Space Models," Communications in Statistics, Simulation and Computation, Vol.28, No.4, pp.867-894. Download (PDF file)
    
    
25. H. Tanizaki (1999) "Nonlinear and Nonnormal Filter Using Importance Sampling: Antithetic Monte-Carlo Integration," Communications in Statistics, Simulation and Computation, Vol.28, No.2, pp.463-486. Download (PDF file)
    
    
26. H. Tanizaki (1999) "On the Nonlinear and Nonnormal Filter Using Rejection Sampling," IEEE Transactions on Automatic Control, Vol.44, No.2, pp.314-319. Download (PDF file)
    
    
27. H. Tanizaki and R.S. Mariano (1998) "Nonlinear and Non-Gaussian State-Space Modeling with Monte-Carlo Simulations," Journal of Econometrics, Vol.83, No.1&2, pp.263-290. Download (PDF file)
    
    
28. H. Tanizaki (1997) "Power Comparison of Nonparametric Tests: Small Sample Properties from Monte-Carlo Experiments," Journal of Applied Statistics, Vol.24, No.5, pp.603-632. Download (PDF file)
    
    
29. H. Tanizaki (1997) "Nonlinear and Nonnormal Filters Using Monte Carlo Methods," Computational Statistics and Data Analysis, Vol.25, No.4, pp.417-439. Download (PDF file)
    
    
30. H. Tanizaki (1997) "Non-linear and Non-normal Filter Based on Monte-Carlo Technique," System Analysis, Modeling, Simulation, Vol.27, No.4, pp.265-280. Download (PDF file)
    
    
31. H. Tanizaki and R.S. Mariano (1996) "Nonlinear Filters Based on Taylor Series Expansions," Communications in Statistics, Theory and Methods, Vol.25, No.6, pp.1261-1282. Download (PDF file)
    
    
32. S. Hamori, S. Kitasaka and H. Tanizaki (1996) "On a Test for Structural Stability of Euler Conditions Parameters Estimated via Generalized Method of Moments Estimators: Small Sample Properties," Econometric Reviews, Vol.15, No.1, pp.97-116. Download (PDF file)
    
    
33. H. Tanizaki (1995) "Asymptotically Exact Confidence Intervals of CUSUM and CUSUMSQ Tests: A Numerical Derivation Using Simulation Technique," Communications in Statistics, Simulation and Computation, Vol.24, No.4, pp.1019-1036. Download (PDF file)
    
    
34. H. Tanizaki (1995) "Re-Interpretation of Single-Stage Iteration Filter by Mixed Estimation Approach" Kobe-Gakuin University, Vol.27, No.1&2, pp.63-76.
    
    
35. R.S. Mariano and H. Tanizaki (1995) "Prediction of Final Data with Use of Preliminary and/or Revised Data," Journal of Forecasting, Vol.14, No.4, pp.351-380. Download (PDF file)
    
    
36. H. Tanizaki (1994) "Reconsideration of the Nonlinear Filters based on Taylor Series Expansion," Kobe-Gakuin University, Vol.26, No.2, pp.1-26.
    
    
37. H. Tanizaki and R.S. Mariano (1994) "Prediction, Filtering and Smoothing in Nonlinear and Nonnormal Cases using Monte-Carlo integration," Journal of Applied Econometrics, Vol.9, No.2, pp.163-179. Download (PDF file)
    
    
38. H. Tanizaki (1994) "Testing the Stability of a Set of Regression Coefficients through Time," Kobe-Gakuin University, Vol.25, No.3&4, pp.115-122.
    
    
39. H. Tanizaki (1993) "Kalman Filter Model with Qualitative Dependent Variable," The Review of Economics and Statistics, No.75, No.4, pp.747-752. Download (PDF file)
    
    
40. H. Tanizaki (1993) "The State-Space Model with Disturbances Following an ARCH(1) Process," Kobe-Gakuin University, Vol.24, No.4, pp.49-58.
    
    
41. H. Tanizaki (1992) "State-Space Model in Linear Case: A Survey," Kobe-Gakuin University, Vol.24, No.1, pp.121-141.
    
    
42. H. Tanizaki (1991) "Nonlinear Filters: Estimation and Applications," Ph.D. Dissertation, University of Pennsylvania, Department of Economics.
    
    
43. H. Tanizaki (1989) "The Kalman Filter Model under the Assumption of the First-Order Autoregressive Process in the Disturbance Terms," Economics Letters, Vol.31, No.2, pp.145-149. Download (PDF file)

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Classes

Osaka University (2011 -)

Kobe University (1995 - 2011)

Kobe-Gakuin University (1992 - 1995)