Specifically, (i) use the Bank’s current account instead of the monetary base, (ii) add other variables that are deemed important for the economic and financial conditions at that time (add each variable to the four-variable model): variables include the U.S. stock prices, Japan-U.S. interest rate differentials for 2-year government bonds and 10-year government bonds, the long-term interest rate, net exports, real business fixed investment, and potential output,6 (iii) use different sample periods: March 2001-March 2008 and March 2002-March 2007, (iv) use different lag orders: 6 and 8 period lags, and (v) use different identifying restrictions.7 These additional analyses generally showed similar results, which confirmed that the abovementioned empirical results were robust to a certain degree.
6  I have constructed 5-variable models by adding each variable to the end of 4-variable model, and estimated based on recursive restrictions. Variables were the Dow Jones industrial average for the U.S. stock prices (monthly average), the U.S. government bond yield minus JGB (2-year bond and 10-year bond) for JapanU.S. interest rate differential. Long-term interest rate was 10-year bond yield.