We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
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.
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.)
References
REFERENCES
Anderson, T.W. & Darling, D.A. (1952) Asymptotic theory of certain “goodness of fit” criteria based on stochastic processes. Annals of Mathematical Statistics23, 193–212.Google 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 Association74, 427–431.Google Scholar
Granger, C.W.J. & Newbold, P. (1974) Spurious regressions in econometrics. Journal of Econometrics2, 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 Quarterly36, 133–147.Google Scholar
Nabeya, S. & Tanaka, K. (1986) Approximate distributions of the periodogram and related statistics. Econometric Theory2, 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 Statistics16, 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. Econometrica58, 145–163.CrossRefGoogle Scholar
Nabeya, S. & Tanaka, K. (1990b) Limiting powers of unit-root tests in time-series regression. Journal of Econometrics46, 247–271.Google Scholar
Phillips, P.C.B. (1977) Approximations to some finite sample distributions associated with a first-order stochastic difference equation. Econometrica45, 463–486.CrossRefGoogle Scholar
Phillips, P.C.B. (1982) Erratum: Approximations to some finite sample distributions associated with a first-order stochastic difference equation. Econometrica50, 274–274.Google Scholar
Tanaka, K. (1983a) Asymptotic expansions associated with the AR(1) model with unknown mean. Econometrica51, 1221–1231.Google Scholar
Tanaka, K. (1983b) Non-normality of the Lagrange multiplier statistic for testing the constancy of regression coefficients. Econometrica51, 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 B46, 58–67.Google Scholar
Tanaka, K. (1990) Testing for a moving average unit root. Econometric Theory6, 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 Inference138, 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 Theory5, 333–353.Google Scholar
Watson, G.S. (1961) Goodness-of-fit tests on a circle. Biometrika49, 109–114.Google Scholar