Masao Ogaki

Overview

Masao Ogaki is an econometrician at Ohio State University specializing in nonstationary time series, cointegration, and panel data. He co-developed the Canonical Cointegrating Regression (CCR) and the Seemingly Unrelated CCR (Park-Ogaki 1991) — the nonparametric precursors to DSUR — and later the parametric DSUR estimator with Mark and Sul.

Key Contributions / Features

• Park-Ogaki (1991) SU-CCR (Seemingly Unrelated Canonical Cointegrating Regressions, RCER WP 280): first multi-equation cointegrating estimator exploiting cross-equation error correlation; asymptotically efficient but poor small-sample performance due to nonparametric spectral estimation of $\Omega$.
• DSUR (Mark-Ogaki-Sul 2003): parametric alternative to SU-CCR; better small-sample properties by replacing spectral estimation with leads/lags of Δx.

Related

• Nelson Mark
• Donggyu Sul
• Dynamic Seemingly Unrelated Regression