SEARCH

Search Details

MOTEGI Kaiji
Graduate School of Economics / Division of Economics
Associate Professor

Researcher basic information

■ Degree
  • Doctor of Philosophy in Economics
■ Research Keyword
  • Econometrics
  • Time series analysis
  • Mixed Data Sampling (MIDAS)
  • Mixed frequency data
  • Granger causality
  • Threshold effect
■ Research Areas
  • Humanities & social sciences / Economic statistics
■ Committee History
  • Jan. 2026 - Present, Econometrics and Statistics, Associate Editor, Part A: Econometrics
  • Jan. 2018 - Present, Singapore Economic Review, Associate Editor
  • Aug. 2026 - Aug. 2026, EcoSta Conference 2026, Scientific Program Committee Member, Ryukoku University
  • Mar. 2024 - Mar. 2024, International Conference on Time Series Econometrics, Organizer
  • Aug. 2023 - Aug. 2023, EcoSta Conference 2023, Scientific Program Committee Member, Waseda University
  • Sep. 2021 - Sep. 2022, 2021 & 2022 Japanese Joint Statistical Meetings, Program Committee Member

Research activity information

■ Award
  • Jul. 2024 Keiai Machizukuri Foundation & Kobe University, 13th Maenosono Memorial Award for Young Researchers
    Kaiji Motegi

  • Nov. 2021 Graduate School of Economics and Management, Tohoku University, Third Hosoya Prize
    Kaiji Motegi

  • Jan. 2020 Kobe University, Best Young Researcher Award
    MOTEGI Kaiji

  • Sep. 2019 The Japan Statistical Society, 33rd JSS Ogawa Award
    MOTEGI Kaiji

  • Mar. 2017 日本統計学会, 第11回日本統計学会春季集会「優秀発表賞」
    MOTEGI KAIJI
    Japan society

  • Mar. 2016 日本統計学会, 第10回日本統計学会春季集会「優秀発表賞」
    MOTEGI KAIJI
    Japan society

  • Sep. 2015 統計関連学会連合, 2015年度統計関連学会連合大会「優秀報告賞」
    MOTEGI KAIJI
    Japan society

  • Sep. 2014 統計関連学会連合, 2014年度統計関連学会連合大会「最優秀報告賞」
    MOTEGI KAIJI
    Japan society

  • 2014 JJSM Competition Session Best Presentation Award Winner 2014

  • 2012 Dean's Award, Graduate School of Economics, Waseda University

  • 2011 Outstanding Book Award, Japan Society for Fuzzy Theory and Intelligent Informatics

■ Paper
■ MISC
  • Why does the infection status of COVID-19 differ between Japan and the U.S.?
    Kaiji Motegi
    Lead, 15 Jan. 2022, Weekly Toyo Keizai Magazine, 78 - 79, Japanese
    [Invited]
    Introduction commerce magazine

  • Mixed frequency vector autoregressive (MF-VAR) models and Granger causality tests
    Kaiji Motegi
    An invited special article as the 33rd JSS Ogawa Award Winner
    Lead, Sep. 2020, Journal of the Japan Statistical Society, 50(1) (1), 191 - 204, Japanese, Domestic magazine
    [Refereed][Invited]
    Introduction scientific journal

■ Books And Other Publications
  • Fuzzy Theory
    山下 元, 瀧澤 武信, 稲井田 次郎, 上江洲 弘明, 奥田 良治, 金川 秀也, 清水 誠一, 鍾 恂恂, 新海 公昭, 富田 真聡, 津田 栄, 永島 謙一, 橋口 泰武, MOTEGI KAIJI, 森岡 正臣
    Joint work, 共立出版, Aug. 2010, Japanese
    Scholarly book

■ Lectures, oral presentations, etc.
  • Regular and reverse Midastar models: Threshold autoregression with mixed frequency data
    Kaiji Motegi
    20th International Symposium on Econometric Theory and Applications (SETA 2026), Jun. 2026, English, University of Tokyo, Japan, International conference, Co-authored internationally
    Oral presentation

  • Cross-regional spillover effects of the Dow Jones Sustainability Indices: A heteroscedasticity-robust VAR approach
    Kaiji Motegi
    Workshop “Research on the Frontier of Modern Economics”, Oct. 2025, Institute of Economic Research, College of Economics, Aoyama Gakuin University, Japan, Domestic conference
    [Invited]
    Public discourse

  • Regular and reverse Midastar models: Threshold autoregression with mixed frequency data
    Kaiji Motegi
    8th International Conference on Econometrics and Statistics (EcoSta 2025), Aug. 2025, English, Waseda University, International conference, Co-authored internationally
    [Invited]
    Invited oral presentation

  • Cross-regional spillover effects of the Dow Jones Sustainability Indices: A heteroscedasticity-robust VAR approach
    Kaiji Motegi
    Internal Seminar, Jul. 2025, Institute for Monetary and Economic Studies, Bank of Japan, Japan, Domestic conference
    [Invited]
    Public discourse

  • Conditional Threshold Autoregression (CoTAR)
    Kaiji Motegi
    100th Annual Conference, Western Economic Association International (WEAI), Jun. 2025
    Oral presentation

  • Conditional Threshold Autoregression (CoTAR)
    Kaiji Motegi
    2024 Kansai Keiryo Keizaigaku Kenkyukai, Jan. 2025
    Oral presentation

  • Intensive course on time series analysis
    Kaiji Motegi
    Yokohama City University, Dec. 2024, Japanese
    [Invited]
    Public discourse

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    92nd Marunouchi Quantitative Finance Seminar, Nov. 2024, Japanese
    [Invited]
    Public discourse

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    2024 Japanese Economic Association Autumn Meeting, Oct. 2024, Japanese Economic Association, Fukuoka University, Japan, Domestic conference
    Oral presentation

  • Conditional threshold effects of stock market volatility on crude oil market volatility
    Kaiji Motegi
    9th Annual International Conference on Applied Economics in Hawaii, Sep. 2024, Graduate School of Economics, Kobe University, Honolulu, United States, International conference
    [Invited]
    Invited oral presentation

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    2024 Japanese Joint Statistical Meeting, Sep. 2024, Tokyo University of Science, Japan, Domestic conference
    Oral presentation

  • Conditional threshold effects of stock market volatility on crude oil market volatility
    Kaiji Motegi
    Singapore Economic Review Conference, Jul. 2024, Singapore, International conference
    Oral presentation

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    Economics and Economic Growth Centre Seminar Series, Jul. 2024, School of Social Sciences, Nanyang Technological University, Singapore, International conference
    [Invited]
    Public discourse

  • Conditional threshold effects of stock market volatility on crude oil market volatility
    Kaiji Motegi
    99th Annual Conference, Western Economic Association International (WEAI), Jun. 2024, English
    Oral presentation

  • An over-rejection puzzle of bootstrap average tests for the no-threshold-effect hypothesis
    Kaiji Motegi
    Econometrics Workshop, May 2024, Japanese, Institute for Economic Studies, Keio University, Tokyo, Japan, Domestic conference
    [Invited]
    Public discourse

  • Conditional threshold effects of stock market volatility on crude oil market volatility
    Kaiji Motegi
    International Conference on Time Series Econometrics (ICTSE), Mar. 2024, English, Kaiji Motegi, Room #504, Academia Hall for Social Sciences, Rokkodai 1st Campus, Kobe University, Japan, Organizer and speaker, International conference
    [Invited]
    Invited oral presentation

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    6th International Conference on Econometrics and Statistics (EcoSta 2023), Aug. 2023, Waseda University, Japan, International conference
    [Invited]
    Invited oral presentation

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    98th Annual Conference, Western Economic Association International (WEAI), Jul. 2023, English
    Oral presentation

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    17th International Conference, Apr. 2023, Western Economic Association International (WEAI), International conference
    Oral presentation

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    The 7th Annual International Conference on Applied Economics in Hawaii, Nov. 2022, English, Graduate School of Economics, Kobe University, Zoom Webinar, International conference
    [Invited]
    Invited oral presentation

  • Conditional Threshold Autoregression (CoTAR)
    Kaiji Motegi
    2022 Asian Meeting of the Econometric Society in East and South-East Asia, Keio University and University of Tokyo, International conference
    Oral presentation

  • Conditional Threshold Autoregression (CoTAR)
    Kaiji Motegi
    16th International Symposium on Econometric Theory and Applications (SETA 2022), Jul. 2022
    Oral presentation

  • Midastar: Threshold autoregression with data sampled at mixed frequencies
    Kaiji Motegi
    Econometrics Workshop, Jul. 2022, Institute for Economic Studies, Keio University
    [Invited]

  • Regional interdependence of the Japan REIT market: A heteroscedasticity-robust time series approach
    Kaiji Motegi
    5th International Conference on Econometrics and Statistics (EcoSta 2022), Jun. 2022
    [Invited]
    Invited oral presentation

  • Conditional threshold autoregression (CoTAR)
    Kaiji Motegi
    5th International Conference on Econometrics and Statistics (EcoSta 2022), Jun. 2022, English
    [Invited]
    Invited oral presentation

  • The conditional threshold autoregression (CoTAR)
    Kaiji Motegi
    The 6th Annual International Conference on Applied Econometrics in Hawaii, Nov. 2021, Graduate School of Economics, Kobe University, Zoom Webinar, Organizer and speaker, International conference
    [Invited]
    Invited oral presentation

  • The conditional threshold autoregression (CoTAR)
    Kaiji Motegi
    The Third Hosoya Prize Lecture, Nov. 2021, Graduate School of Economics and Management, Tohoku University, International conference
    [Invited]
    Invited oral presentation

  • Copula-based regression models with data missing at random: A unified approach
    MOTEGI Kaiji
    Econometrics Workshop, Institute for Economic Studies, Keio University, Dec. 2019, Japanese, Domestic conference
    [Invited]
    Public discourse

  • Copula-based regression models with data missing at random: A unified approach
    MOTEGI Kaiji
    Departmental seminar, Department of Economics, University of Essex, Sep. 2019, English, International conference
    [Invited]
    Public discourse

  • Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
    MOTEGI KAIJI
    2019 Japanese Joint Statistical Meeting, Sep. 2019, English, Shiga University, International conference
    [Invited]
    Invited oral presentation

  • Copula-based regression models with responses missing at random: A unified approach
    MOTEGI KAIJI
    2019 Japanese Joint Statistical Meeting, Sep. 2019, English, Shiga University, International conference
    Oral presentation

  • A max-correlation white noise test for weakly dependent time series
    MOTEGI KAIJI
    経済学会例会, Jun. 2019, Japanese, 神戸大学大学院経済学研究科, Domestic conference
    Public discourse

  • A max-correlation white noise test for weakly dependent time series
    MOTEGI KAIJI
    The 15th International Symposium on Econometric Theory and Applications (SETA 2019), Jun. 2019, English, Osaka University, International conference
    Oral presentation

  • A max-correlation white noise test for weakly dependent time series
    MOTEGI KAIJI
    15th International Conference, Western Economic Association International, Mar. 2019, English, Keio University, International conference
    Oral presentation

  • A max-correlation white noise test for weakly dependent time series
    MOTEGI KAIJI
    Essex Centre for Macro and Financial Econometrics Seminar Series, Jan. 2019, English, University of Essex, International conference
    Public discourse

  • High-Dimensional Copula Models with Mixed Frequency Data and Asymmetric Volatility
    MOTEGI KAIJI
    88th Annual Meeting of Southern Economic Association, Nov. 2018, English, Marriott Marquis Washington, DC, International conference
    [Invited]
    Invited oral presentation

  • Calibration Estimation of Semiparametric Copula Models with Data Missing at Random
    MOTEGI KAIJI
    UNC Econometrics Workshop, Nov. 2018, English, Department of Economics, University of North Carolina at Chapel Hill, International conference
    Public discourse

  • Calibration Estimation of Semiparametric Copula Models with Data Missing at Random
    MOTEGI KAIJI
    Departmental Seminar, Renmin University of China, Aug. 2018, English, Institute of Statistics and Big Data, Renmin University of China, International conference
    Public discourse

  • Calibration Estimation of Semiparametric Copula Models with Data Missing at Random
    MOTEGI KAIJI
    計量経済学ワークショップ, Jul. 2018, Japanese, 慶應義塾大学経済研究所, Domestic conference
    Public discourse

  • Estimation of Semiparametric Copula Models under Missing Data
    MOTEGI KAIJI
    Departmental Seminar, University of Hong Kong, Jun. 2018, English, Department of Statistics and Actuarial Science, University of Hong Kong, International conference
    Public discourse

  • Calibration Estimation for Semiparametric Copula Models under Missing Data
    MOTEGI KAIJI
    2nd International Conference on Econometrics and Statistics, Jun. 2018, English, City University of Hong Kong, International conference
    [Invited]
    Invited oral presentation

  • Calibration Estimation of Semiparametric Copula Models with Data Missing at Random
    MOTEGI KAIJI
    甲南経済学研究会, May 2018, Japanese, 甲南大学経済学部, Domestic conference
    Public discourse

  • Calibration Estimation for Semiparametric Copula Models under Missing Data
    MOTEGI KAIJI
    第12回日本統計学会春季集会, Mar. 2018, Japanese, Domestic conference
    Poster presentation

  • Calibration Estimation for Semiparametric Copula Models under Missing Data
    MOTEGI KAIJI
    Economics and Economic Growth Centre Seminar Series, Jan. 2018, English, School of Social Sciences, Nanyang Technological University, International conference
    Public discourse

  • Testing for Weak Form Efficiency of Stock Markets
    MOTEGI KAIJI
    3rd Annual International Conference on Applied Econometrics in Hawaii, Sep. 2017, English, Ala Moana Hotel, Hawaii, International conference
    Oral presentation

  • Testing for Weak Form Efficiency of Stock Markets
    MOTEGI KAIJI
    2017 Japanese Joint Statistical Meeting, Sep. 2017, English, Nanzan University, Nagoya, Domestic conference
    Oral presentation

  • Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality
    MOTEGI KAIJI
    Workshop on Advances in Econometrics 2017, Jul. 2017, Japanese, KKR Hakodate, Hokkaido, Domestic conference
    Oral presentation

  • Testing for Weak Form Efficiency of Stock Markets
    MOTEGI KAIJI
    50th Anniversary Seminar, Jun. 2017, English, Department of Statistics and Actuarial Science, University of Hong Kong, International conference
    [Invited]
    Oral presentation

  • Testing for Weak Form Efficiency of Stock Markets
    MOTEGI KAIJI
    50th Anniversary Seminar, University of Hong Kong, Jun. 2017, English, Department of Statistics and Actuarial Science, University of Hong Kong, International conference
    Oral presentation

  • Testing for Weak Form Efficiency of Stock Markets
    MOTEGI KAIJI
    4th Annual Conference of the International Association for Applied Econometrics, Jun. 2017, English, Hotel Emisia Sapporo, Hokkaido, International conference
    Oral presentation

  • Testing for Weak Form Efficiency of Stock Markets
    MOTEGI KAIJI
    1st International Conference on Econometrics and Statistics, Jun. 2017, English, The Hong Kong University of Science and Technology, International conference
    Oral presentation

  • Testing for Weak Form Efficiency of Stock Markets
    MOTEGI KAIJI
    第11回日本統計学会春季集会, Mar. 2017, Japanese, Domestic conference
    Poster presentation

  • Max-Correlation Test and Max-Causality Test for Economic Time Series
    MOTEGI KAIJI
    UNC Econometrics Seminar, Feb. 2017, English, Department of Economics, University of North Carolina at Chapel Hill, Department of Economics, University of North Carolina at Chapel Hill, International conference
    Oral presentation

  • Testing for Weak Form Efficiency of Stock Markets
    MOTEGI KAIJI
    第24回関西計量経済学研究会, Jan. 2017, Japanese, Domestic conference
    Oral presentation

  • A Max-Correlation White Noise Test for Weakly Dependent Time Series
    MOTEGI KAIJI
    2016 Japanese Joint Statistical Meeting, Sep. 2016, Japanese, Domestic conference
    Oral presentation

  • A Max-Correlation White Noise Test for Weakly Dependent Time Series
    MOTEGI KAIJI
    2016 NBER-NSF Time Series Conference, Sep. 2016, English, Columbia University, International conference
    Poster presentation

  • A Max-Correlation White Noise Test for Weakly Dependent Time Series
    MOTEGI KAIJI
    2016 Asian Meeting of the Econometric Society, Aug. 2016, English, Doshisha University, International conference
    Oral presentation

  • Sluggish Private Investment in Japan's Lost Decade: Mixed Frequency Vector Autoregression Approach
    2014 Kansai Keiryo Keizaigaku Kenkyukai, 2015

  • Testing for Granger Causality with Mixed Frequency Data
    Japanese Joint Statistical Meeting, 2014

  • Regression-Based Mixed Frequency Granger Causality Tests
    NBER-NSF Time Series Conference, 2014
    Poster presentation

  • Regression-Based Mixed Frequency Granger Causality Tests
    25th (EC)2 Conference - Advances in Forecasting, 2014
    Poster presentation

  • Granger Causality in Mixed Frequency Vector Autoregressive Models
    North Ameican Summer Meeting of the Econometric Society, 2013

  • Testing for Granger Causality with Mixed Frequency Data
    NBER-NSF Time Series Conference, 2013
    Poster presentation

  • Testing for Granger Causality with Mixed Frequency Data
    Triangle Econometrics Conference, 2013

■ Affiliated Academic Society
  • Japan Economic Association

  • Japan Statistical Society

  • 日本経済学会

  • 日本統計学会

  • Econometric Society

■ Research Themes
  • Theory and applications of the non-stationarity and non-linearity of time series variables
    Kaiji Motegi
    Japan Society for the Promotion of Science, JSPS KAKENHI, Grant-in-Aid for Scientific Research (B), Apr. 2026 - Mar. 2030, Principal investigator

  • Modelling and predicting the volatility of real estate investment trust markets
    Trust Forum Foundation, Research Grant, Apr. 2025 - Mar. 2027, Principal investigator

  • Statistical analysis of the cross-regional spillover effects of ESG indices
    Nihon Hoseigakkai Foundation, Research Grant, Apr. 2025 - Mar. 2026, Principal investigator

  • Modelling and testing threshold effects with mixed frequency data
    Kaiji Motegi
    Japan Society for the Promotion of Science, JSPS KAKENHI, Grant-in-Aid for Challenging Research (Exploratory), Jun. 2023 - Mar. 2026, Principal investigator

  • Time series prediction of economic and COVID-19 statistics
    Nomura Foundation, Grants for Social Science, Oct. 2022 - Sep. 2024

  • Modelling and forecasting the volatility of energy prices
    The Murata Science Foundation, Research Grant, Aug. 2023 - Jul. 2024, Principal investigator

  • Modelling and testing threshold effects in mixed frequency time series
    Japan Securities Scholarship Foundation, Research Grant, Oct. 2022 - Sep. 2023

  • Modelling threshold effects in financial time series
    Kaiji Motegi
    Ishii Memorial Securities Research Promotion Foundation, Research Grant, Aug. 2020 - Mar. 2022, Principal investigator
    Competitive research funding

  • Time series analysis on the regional spillover effects of REIT prices
    Zengin Foundation for Studies on Economics and Finance, Grant-in-Aid for Research, Apr. 2020 - Mar. 2022, Principal investigator

  • MOTEGI Kaiji
    Japan Society for the Promotion of Science, JSPS KAKENHI, Grant-in-Aid for Early-Career Scientists, Apr. 2019 - Mar. 2022, Principal investigator
    Competitive research funding

  • Unifying copula models, missing data analysis, and treatment effects
    Kaiji Motegi
    Japan Center for Economic Research (JCER), Research grant, Apr. 2018 - Mar. 2020, Principal investigator
    Competitive research funding

  • Analysis of the interdependence of financial variables based on new copula models
    Kaiji Motegi
    Nihon Hosei Gakkai Foundation, Research grant, Apr. 2018 - Mar. 2019, Principal investigator
    Competitive research funding

  • A new approach for predicting economic time series
    Kaiji Motegi
    Kikawada Foundation, Research grant, Apr. 2017 - Mar. 2019, Principal investigator
    Competitive research funding

  • A new approach for predicting economic time series
    Kaiji Motegi
    Nomura Foundation, Grants for Social Science, Apr. 2017 - Mar. 2019, Principal investigator
    Competitive research funding

  • Kaiji Motegi
    Japan Society for the Promotion of Science, JSPS KAKENHI, Grant-in-Aid for Young Scientists (B), Apr. 2016 - Mar. 2019, Principal investigator
    Competitive research funding

  • A new approach for predicting economic time series
    Kaiji Motegi
    Mitsubishi UFJ Trust Scholarship Foundation, Research grant, Apr. 2017 - Mar. 2018, Principal investigator
    Competitive research funding

  • Statistical analysis of mixed frequency data
    Kaiji Motegi
    Suntory Foundation, Suntory Foundation Grant for Young Researchers, Apr. 2016 - Mar. 2017, Principal investigator
    Competitive research funding

TOP