Katsuto Tanaka

(田中勝人)

Profile Information

Affiliation: Faculty of Economics, Department of Economics, Gakushuin University

Degree: Ph. D. in Statistics(Australian National University)

J-GLOBAL ID: 200901005289418857
researchmap Member ID: 6000009181

Research Interests

Research Areas

Humanities & social sciences / Economic statistics /

Research History

2008 - 2010

Hitotsubashi University
2008 - 2010

Vice President,Hitotsubashi University
2005 - 2007

Graduate School of Economics, Hitotsubashi University
2005 - 2007

Dean of Graduate School,Graduate School of Economics,Hitotsubashi University
1990 - 1998

Faculty of Economics, Hitotsubashi University

Education

- 1979

Graduate School of Economics, Hitotsubashi University
- 1979

The Australian National University
- 1979

Graduate School, Division of Economics, Hitotsubashi University
- 1979

Statistics, Department of Statistics, Australian National University
- 1976

Graduate School of Economics, Hitotsubashi University

Committee Memberships

2008 - 2010

評議員, 日本統計学会
2008 - 2010

Councillor, Japan Statistical Society
2006 - 2008

理事長, 日本統計学会
2006 - 2008

Head of Board of Directors, Japan Statistical Society
2004 - 2006

欧文誌編集委員長, 日本統計学会

Awards

1999

Econometric Theory Award
1999

Econometric Theory Award
1998

日本統計学会賞
1998

Japan Statistical Society Prize
1996

The T. C. Koopmans Econometric Theory Award

Misc.

Linear Nonstationary Models ― A review of the Work of Professor P.C.B. Phillips ― (forthcoming)

Katsuto Tanaka

Econometric Theory, 2011
Linear Nonstationary Models ― A review of the Work of Professor P.C.B. Phillips ― (forthcoming)

Katsuto Tanaka

Econometric Theory, 2011
Tribute to Professor C.W.J. Granger

Katsuto Tanaka

European Journal of Pure and Applied Mathematics, 3(3) 338-339, 2010
Tribute to Professor C.W.J. Granger

Katsuto Tanaka

European Journal of Pure and Applied Mathematics, 3(3) 338-339, 2010
書評 D. B. Percival and A. T. Walden: Wavelet Methods for Time Series Analysis, Cambridge University Press.

田中勝人

数学（日本数学会）, 61(1) 93-97, 2009
On the distribution of quadratic functionals of the ordinary and fractional Brownian motions

Katsuto Tanaka

Journal of Statistical Planning and Inference, 138(11) 3525-3537, Nov 1, 2008
On the distribution of quadratic functionals of the ordinary and fractional Brownian motions

Katsuto Tanaka

JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 138(11) 3525-3537, Nov, 2008
時系列解析の理論と応用

田中勝人

『21世紀の統計科学Ⅲ 数理・計算の統計科学』（北川・竹村編）所収，岩波書店, 147-178, 2008
ANALYSIS OF MODELS WITH COMPLEX ROOTS ON THE UNIT CIRCLE(<SPECIAL ISSUE>CELEBRATION VOLUME FOR AKAIKE)

Katsuto Tanaka, Department of Economics Hitotsubashi University

Journal of the Japan Statistical Society, 38(1) 145-155, 2008

This paper deals with nonstationary autoregressive (AR) models with complex roots on the unit circle. We examine the asymptotic properties of the least squares estimators (LSEs) in the model. We also extend the model to the case where the error term follows a stationary linear process. We show that the limiting distribution of the LSE of the unit root parameter has a property comparable to that of the LSE in the standard nonstationary seasonal model with period two. Percent points and moments of the limiting distribution are computed by numerical integration.
On Various Applications of the Wavelet Analysis to Statistics

Katsuto Tanaka

American Mathematical Society Translations, Series 2, 223 137-158, 2008
Analysis of Models with Complex Roots on the Unit Circle

Katsuto Tanaka

Journal of the Japan Statistical Society, 38(1) 145-155, 2008

This paper deals with nonstationary autoregressive (AR) models with complex roots on the unit circle. We examine the asymptotic properties of the least squares estimators (LSEs) in the model. We also extend the model to the case where the error term follows a stationary linear process. We show that the limiting distribution of the LSE of the unit root parameter has a property comparable to that of the LSE in the standard nonstationary seasonal model with period two. Percent points and moments of the limiting distribution are computed by numerical integration.
On Various Applications of the Wavelet Analysis to Statistics

Katsuto Tanaka

American Mathematical Society Translations, Series 2, 223 137-158, 2008
スペクトル解析, ウェーブレット解析

田中勝人

『計量経済学ハンドブック』（朝倉書店）, 643-662, 2007
ウェーブレット解析

田中勝人

『統計データ科学事典』（朝倉書店）, 236-237, 2007
ウェーブレット解析の統計学への応用について

田中勝人

数学（日本数学会）, 57(1) 50-69, 2005
Frequency Domain and Wavelet-based Estimation for Long-Memory Signal plus Noise Models

Katsuto Tanaka

Harvey, A.C., Koopman, S.J. and Shephard, N. eds., State Space and Unobserved Component Models, Cambridge University Press, 75-91, 2004
計量経済学のテキストを書き換えた「共和分」と「単位根」概念 : グレンジャー教授の業績

田中勝人

経済セミナー, 588 73-76, 2004
Frequency domain and wavelet-based estimation for long-memory signal plus noise models

Katsuto Tanaka

State Space and Unobserved Component Models: Theory and Applications, 75-91, Jan 1, 2004
A unified approach to the measurement error problem in time series models

Katsuto Tanaka

Econometric Theory, 18(2) 278-296, Apr, 2002
A unified approach to the measurement error problem in time series models

K Tanaka

ECONOMETRIC THEORY, 18(2) 278-296, Apr, 2002
書評「ウェーブレットと確率過程入門」謝衷潔・鈴木武共著内田老鶴圃 2002年 viii+195頁

田中勝人

日本統計学会誌, 32(3) 345-347, 2002
K-asymptotics associated with deterministic trends in integrated and near-integrated processes

K Tanaka

JAPANESE ECONOMIC REVIEW, 52(1) 35-63, Mar, 2001
非定常経済時系列におけるトレンドの統計的問題

田中勝人

『現代経済学の潮流2001』 (井堀他編)所収，東洋経済新報社, 111-135, 2001
K-asymptotics associated with deterministic trends in integrated and near-integrated processes

K. Tanaka

Japanese Economic Review, 52(1) 35-63, 2001
The nonstationary fractional unit root

K Tanaka

ECONOMETRIC THEORY, 15(4) 549-582, Aug, 1999
The Nonstationary Fractional Unit Root

Katsuto Tanaka

Econometric Theory, 15(4) 549-582, 1999
景気の経済学と信号処理

田中勝人

Journal of Signal Processing, 1(3) 151-156, 1997
The Optimality of Extended Score Tests with Applications to Testing for a Moving Average Unit Root

Katsuto Tanaka

G.S.Maddala, P.C.B.Phillips and T.N.Srinivasan eds., Advances in Econometrics and Quantitative Economics, Oxford: Blackwell, 50-65, 1995
The Optimality of Extended Score Tests with Applications to Testing for a Moving Average Unit Root

Katsuto Tanaka

G.S.Maddala, P.C.B.Phillips and T.N.Srinivasan eds., Advances in Econometrics and Quantitative Economics, Oxford: Blackwell, 50-65, 1995
AN ALTERNATIVE APPROACH TO THE ASYMPTOTIC THEORY OF SPURIOUS REGRESSION, COINTEGRATION, AND NEAR COINTEGRATION

K TANAKA

ECONOMETRIC THEORY, 9(1) 36-61, Mar, 1993
Statistical Analysis of Higher Order Integrated and Cointegrated Processes

Katsuto Tanaka

Proceedings of the Second Japan-US Time Series Seminar, Hawaii, 349-388, 1993
統計的時系列分析の現状と展望（共著）

田中勝人, 藤井光昭, 渡辺則生, 酒井英昭, 川島利兵衛

日本統計学会誌, 22(3) 375-411, 1993
Statistical Analysis of Higher Order Integrated and Cointegrated Processes

Katsuto Tanaka

Proceedings of the Second Japan-US Time Series Seminar, Hawaii, 349-388, 1993
An Alternativ Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near-Cointegration

Katsuto Tanaka

Econometric Theory, 9(1) 36-61, 1993
THE FREDHOLM APPROACH TO ASYMPTOTIC INFERENCE ON NONSTATIONARY AND NONINVERTIBLE TIME-SERIES MODELS

K TANAKA

ECONOMETRIC THEORY, 6(4) 411-432, Dec, 1990
LIMITING POWER OF UNIT-ROOT TESTS IN TIME-SERIES REGRESSION

S NABEYA, K TANAKA

JOURNAL OF ECONOMETRICS, 46(3) 247-271, Dec, 1990
TESTING FOR A MOVING AVERAGE UNIT-ROOT

K TANAKA

ECONOMETRIC THEORY, 6(4) 433-444, Dec, 1990
Asymptotic Distribution of the Least Squares Estimator of the Cointegrating Vector

TANAKA Katsuto

Economic review, 41(3) 193-200, 1990
A GENERAL-APPROACH TO THE LIMITING DISTRIBUTION FOR ESTIMATORS IN TIME-SERIES REGRESSION WITH NONSTABLE AUTOREGRESSIVE ERRORS

S NABEYA, K TANAKA

ECONOMETRICA, 58(1) 145-163, Jan, 1990
The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models

Katsuto Tanaka

Econometric Theory, 6(4) 411-432, 1990
Limiting Power of Unit-Root Tests in Time-Series Regression (jointly worked)

Katsuto Tanaka, S.Nabeya

Journal of Econometrics, 46(3) 247-271, 1990
Asymptotic Distribution of the Least Squares Estimator of the Cointegrating Vector

Katsuto Tanaka

The Economic Review, 41(3) 193-200, 1990
Testing for a Moving Average Unit Root

Katsuto Tanaka

Econometric Theory, 6(4) 433-444, 1990
A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors (jointly worked)

Katsuto Tanaka, S.Nabeya

Econometrica, 58(1) 145-163, 1990
ASYMPTOTIC PROPERTIES OF THE MAXIMUM-LIKELIHOOD AND NONLINEAR LEAST-SQUARES ESTIMATORS FOR NONINVERTIBLE MOVING AVERAGE MODELS

K TANAKA, SE SATCHELL

ECONOMETRIC THEORY, 5(3) 333-353, Dec, 1989
時系列データの欠測値問題

田中勝人

『統計調査の解析手法』に所収，統計研究会, 17-33, 1989
時系列データにおける欠測値と構造の一時的変化の取扱いについて

田中勝人

『標本調査の解析方法：理論と応用』に所収，統計研究会, 84-99, 1989
Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models (jointly worked)

Katsuto Tanaka, S.E. Satchell

Econometric Theory, 5(3) 333-353, 1989
ASYMPTOTIC THEORY OF A TEST FOR THE CONSTANCY OF REGRESSION-COEFFICIENTS AGAINST THE RANDOM-WALK ALTERNATIVE

S NABEYA, K TANAKA

ANNALS OF STATISTICS, 16(1) 218-235, Mar, 1988
Brown運動と非定常時系列解析

田中勝人

一橋論叢, 100(3) 395-415, 1988

Books and Other Publications

統計学（第2版）

新世社, 2011 (ISBN: 4883841545)
経済統計(第3版)

岩波書店, 2009 (ISBN: 9784000267007)
現代時系列分析

岩波書店, 2006 (ISBN: 9784000227612)
経済時系列の統計-その数理的基礎（共著）

岩波書店, 2003 (ISBN: 9784000068482)
経済統計(第2版)

岩波書店, 2002 (ISBN: 9784000266963)

Presentations

Distributional Problems associated with Nonstationary Time Series

「計算機支援による統計手法，理論・応用およびその周辺」シンポジウム, 2010
*Distributions of Quadratic Functionals of the Ordinary and Fractional Brownian Motions

Invited talks at University of Melbourne, La Trobe University and Monash University, 2009
*Derivation and Computation of Distributions of Quadratic Functionals of the Ordinary and Fractional Brownian Motions

Distinguished Lecturer at the First IMS APRM Meeting, 2009
*Distributions of Quadratic Functionals of the Ordinary and Fractional Brownian Motions

Invited talks at University of Melbourne, La Trobe University and Monash University, 2009
*Derivation and Computation of Distributions of Quadratic Functionals of the Ordinary and Fractional Brownian Motions

Distinguished Lecturer at the First IMS APRM Meeting, 2009

Professional Memberships

Research Projects

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