Hiroki Tsurumi

Distinguished Professor of Economics

Econometrics

New Jersey Hall 203 |

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My Ph.D. dissertation was an econometric model of the Big Three U.S. automobile companies. I also made econometric models of a macro economy (Canada), of U.S. automobile and Japanese steel industries, and a Japanese pharmaceutical company. After several years of econometric modeling, I shifted my main research and teaching interest to Bayesian econometric and statistical inference. I have been doing Bayesian econometrics for more than 30 years.  My professional activities include associate editor for the Annals of the Institute of Statistical Mathematics and Communications in Statistics.

Selected Publications

•  “Kolmogorov-Smirnov, Fluctuation and Zg tests for convergence of Markov chain Monte Carlo draws,” Communications in Statistics, Simulation and Computations, (2008) with E. Goldman and E. Valieva).
  
  
• “Bayesian inference on the regression model following the exponential power distribution and unbiasedness of the LAD estimator,” Communications in Statistics, (2008).
  
  
• “Limited information Bayesian analysis of a simultaneous equation with autocorrelated error terms and its application to the U.S. gasoline market,” Journal of Econometrics,  (2006), 133, 31-49 (with Stan Radchenko).
  
  
•  “Bayesian, MLE, and GMM estimation of a spot rate model,” Communications in Statistics, (2005), 34, 2221-2233 (with X. Qian and R. Ashizawa).