Hostname: page-component-7dd5485656-frp75 Total loading time: 0 Render date: 2025-11-03T04:03:52.864Z Has data issue: false hasContentIssue false
  • English
  • Français

THE ET INTERVIEW: PROFESSOR KATSUTO TANAKA

Part of: ET Interviews

Published online by Cambridge University Press:  23 October 2013

In Choi  and
Eiji Kurozumi
In Choi
Affiliation:
Sogang Univesity
Eiji Kurozumi
Affiliation:
Hitotsubashi University
Get access Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'

Information

Type
ARTICLES
Information
Econometric Theory , Volume 30 , Issue 2 , April 2014 , pp. 474 - 490
Copyright
Copyright © Cambridge University Press 2013 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

REFERENCES

Anderson, T.W. & Darling, D.A. (1952) Asymptotic theory of certain “goodness of fit” criteria based on stochastic processes. Annals of Mathematical Statistics 23, 193–212.Google Scholar
Belsey, D.A., Kuh, E., & Welsch, R.E. (1980) Regression Diagnostics. Wiley.CrossRefGoogle Scholar
Cencov, N.N. (1982) Statistical Decision Rules and Optimal Inference. Translations of Mathematical Monographs 53. American Mathematical Society.Google Scholar
Dickey, D.A. & Fuller, W.A. (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427–431.Google Scholar
Granger, C.W.J. & Newbold, P. (1974) Spurious regressions in econometrics. Journal of Econometrics 2, 111–120.Google Scholar
Granger, C.W.J. & Newbold, P. (1977) Forecasting Economic Time Series. Academic Press.Google Scholar
Hannan, E.J. & Tanaka, K. (1978) ARMAX models and recursive calculation. In Myoken, H. (ed.), Systems Dynamics and Control in Quantitative Economics, pp. 173–198. Bunshindo.Google Scholar
Hatanaka, M. & Tanaka, K. (1985) The identification problem in regression models with time-varying parameters in random walk. Economic Studies Quarterly 36, 133–147.Google Scholar
Nabeya, S. & Tanaka, K. (1986) Approximate distributions of the periodogram and related statistics. Econometric Theory 2, 33–65.Google Scholar
Nabeya, S. & Tanaka, K. (1988) Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative. Annals of Statistics 16, 218–235.Google Scholar
Nabeya, S. & Tanaka, K. (1990a) A general approach to the limiting distribution for estimators in time series regression with nonstable autoregressive errors. Econometrica 58, 145–163.CrossRefGoogle Scholar
Nabeya, S. & Tanaka, K. (1990b) Limiting powers of unit-root tests in time-series regression. Journal of Econometrics 46, 247–271.Google Scholar
Phillips, P.C.B. (1977) Approximations to some finite sample distributions associated with a first-order stochastic difference equation. Econometrica 45, 463–486.CrossRefGoogle Scholar
Phillips, P.C.B. (1982) Erratum: Approximations to some finite sample distributions associated with a first-order stochastic difference equation. Econometrica 50, 274–274.Google Scholar
Tanaka, K. (1983a) Asymptotic expansions associated with the AR(1) model with unknown mean. Econometrica 51, 1221–1231.Google Scholar
Tanaka, K. (1983b) Non-normality of the Lagrange multiplier statistic for testing the constancy of regression coefficients. Econometrica 51, 1577–1582.Google Scholar
Tanaka, K. (1984) An asymptotic expansion associated with the maximum likelihood estimators in ARMA models. Journal of the Royal Statistical Society, Series B 46, 58–67.Google Scholar
Tanaka, K. (1990) Testing for a moving average unit root. Econometric Theory 6, 433–444.Google Scholar
Tanaka, K. (1996) Time Series Analysis: Nonstationary and Noninvertible Distribution Theory. Wiley.Google Scholar
Tanaka, K. (2004) Frequency domain and wavelet-based estimation for long-memory signal plus noise models. In Harvey, A., Koopman, S.J., & Shephard, N. (eds.), State Space and Unobserved Component Models, pp. 75–91. Cambridge University Press.Google Scholar
Tanaka, K. (2008) On the distribution of quadratic functionals of the ordinary and fractional Brownian motions. Journal of Statistical Planning and Inference 138, 3525–3537.Google Scholar
Tanaka, K. (2013) Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process. Statistical Inference for Stochastic Processes (forthcoming).Google Scholar
Tanaka, K. & Satchell, S.E. (1989) Asymptotic properties of the maximum-likelihood and nonlinear least-squares estimators for noninvertible moving average models. Econometric Theory 5, 333–353.Google Scholar
Watson, G.S. (1961) Goodness-of-fit tests on a circle. Biometrika 49, 109–114.Google Scholar