329頁】

田中勝人教授略歴ならびに著作目録

 

 

略   歴

 

195010          長野県松本市に生まれる

19733            一橋大学経済学部卒業

19763            一橋大学大学院経済学研究科修士課程修了

19795            オーストラリア国立大学大学院統計学科修了(統計学 Ph.D.)

19797月─198012月   金沢大学法文学部講師

19811月─19843月     金沢大学経済学部助教授

19844月─19903月     一橋大学経済学部助教授

19904月─20133月     一橋大学経済学部教授

20134月─現在に至る      学習院大学経済学部教授

19798月─19806月     マサチューセッツ工科大学ポスト・ドクトーラル・フェロー

19864月─19873月     オーストラリア国立大学客員研究員

19874月─198712月   ケンブリッジ大学及びロンドン大学客員研究員

20054月─20073月     一橋大学大学院経済学研究科長及び経済学部長

20085月─201011月   一橋大学副学長

20154月─20173月     学習院大学大学院経済学研究科委員長

 

 

著 作 目 録

 

著書

1. Time Series Analysis: Nonstationary and Noninvertible Distribution Theory. New York: John Wiley, 1996.

 

2. 『経済統計』岩波書店,1996年

 

3. 『計量経済学』岩波書店,1998年

 

4. 『統計学』新世社,1998年

 

5. 『経済統計(第2版)』岩波書店,2002年

 

6. 『経済時系列の統計―その数理的基礎』(刈屋武昭,矢島美寛,竹内啓 共著)岩波書店, 2003年

 

7. 『現代時系列分析』岩波書店,2006年

 

8. 『経済統計(第3版)』岩波書店,2009年

 

9. 『統計学(第2版)』新世社,2010年

 

10. Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Second Edition, New York: John Wiley, 2017

 

11. 『時系列解析』共立出版,2020年

 

330 頁】

論文

1. "On a New Estimation Method for Time Series Models,"『季刊理論経済学』,第28巻,1977年

 

2. "ARMAX Models and Recursive Calculation," (with E.J. Hannan), in H. Myoken ed., Systems Dynamics and Control in Quantitative Economics, Tokyo: Bunshindo, 1978

 

3. "Analysis of Time Varying Parameter Models," Ph. D. Thesis submitted to the Australian National University, 1979

 

4. 「カルマン・フィルターモデル」『金沢大学経済論集』第18号,1981年

 

5. 「時系列解析における漸近展開」『金沢大学経済論集』第19号,1982年

 

6. "The One-sided Lagrange Multiplier Test of the AR(p) Model vs the AR(p) Model with Measurement Error," Journal of the Royal Statistical Society, (B),Vol. 45, 1983

 

7. "Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean," Econometrica, Vol. 51, 1983.

 

8. "Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients," Econometrica, Vol. 51, 1983

 

9. "Estimation for Transients in the Frequency Domain," Journal of the American Statistical Association, Vol. 78, 1983

 

10. "An Asymptotic Expansion Associated with the Maximum Likelihood Estimators in ARMA Models," Journal of the Royal Statistical Society, (B), Vol. 46, 1984

 

11. "The Sampling Distributions of the Predictor for an Autoregressive Model under Misspecifications," (with K. Maekawa), Journal of Econometrics, Vol. 25, 1984

 

12. "The Identification Problem in Regression Models with Time-Varying Parameters in Random Walk," (with M. Hatanaka),『季刊理論経済学』,第36巻,1985年

 

13. 「統計量の変換と統計的推測」『一橋論叢』第94巻,1985年

 

14. "Asymptotic Expansions for Time Series Statistics," Journal of Applied Probability, Vol. 23A, 1986

 

15. "Approximate Distributions of the Periodogram and Related Statistics," (with S. Nabeya),Econometric Theory, Vol. 2, 1986

 

16. "Pitfalls in the Conventional Approach to the Analysis of Economic Time Series," Osaka Economic Papers, Vol. 36, 1987

 

17. "Asymptotic Theory of a Test for the Constancy of Regression Coefficients against the Random Walk Alternative," (with S. Nabeya), Annals of Statistics, Vol. 16, 1988

 

18. 「Brown 運動と非定常時系列解析」『一橋論叢』第100巻,1988年

 

19. "Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models," (with S. E. Satchell), Econometric Theory, Vol. 5, 1989

 

20. 「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」『標本調査の解析 方法:理論と応用』に所収,統計研究会,1989年

 

21. 「時系列データの欠測値問題」『統計調査の解析手法』に所収,統計研究会,1989年

 

22. "A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors," (with S. Nabeya), Econometrica, Vol. 58, 1990

 

23. "Limiting Power of Unit-Root Tests in Time-Series Regression," (with S. Nabeya), Journal of Econometrics, Vol. 46, 1990

 

331 頁】

24. "The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models," Econometric Theory, Vol. 6, 1990

 

25. "Testing for a Moving Average Unit Root," Econometric Theory, Vol. 6, 1990

 

26. "Asymptotic Distribution of the Least Squares Estimator of the Cointegrating Vector," The Economic Review, Vol. 41, 1990

 

27. "An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near-Cointegration," Econometric Theory, Vol. 9, 1993

 

28. 「統計的時系列分析の現状と展望」(藤井,渡辺,酒井,川島 共著)『日本統計学会誌』第22巻,1993年

 

29. "Statistical Analysis of Higher Order Integrated and Cointegrated Processes," in Proceedings of the Second Japan-US Time Series Seminar, Hawaii, 1993

 

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

 

31. 「景気の経済学と信号処理」Journal of Signal Processing, Vol. 1, 1997

 

32. "The Nonstationary Fractional Unit Root," Econometric Theory, Vol. 15, 1999

 

33. "K-Asymptotics Associated with Deterministic Trends in the Integrated and Near-Integrated Processes," The Japanese Economic Review, Vol. 52, 2001

 

34. 「非定常経済時系列におけるトレンドの統計的問題」『現代経済学の潮流2001』(井堀 ・他 編)所収,東洋経済新報社,2001年

 

35. "A Unified Approach to the Measurement Error Problem in Time Series Models," Econometric Theory, Vol. 18, 2002

 

36. "Frequency Domain and Wavelet-based Estimation for Long-Memory Signal plus Noise Models," in A. Harvey, S. J. Koopman and N. Shephard ed., State Space and Unobserved Component Models, Cambridge University Press, 2004

 

37. 「ウェーブレット解析の統計学への応用について」日本数学会『数学』第57巻,2005年

 

38. "On Various Applications of the Wavelet Analysis to Statistics," American Mathematical Society Translations, Series 2, Vol. 223, 2008

 

39. "On the Distribution of Quadratic Functionals of the Ordinary and Fractional Brownian Motions," Journal of Statistical Planning and Inference, Vol. 138, 2008

 

40. 「時系列解析の理論と応用」『21世紀の統計科学V数理・計算の統計科学』(北川・ 竹村 編)所収,岩波書店,2008年

 

41. "Analysis of Models with Complex Roots on the Unit Circle," Journal of the Japan Statistical Society, Vol. 38, 2008

 

42. "Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process," Statistical Inference for Stochastic Processes, Vol. 16, 2013

 

43. "Linear Nonstationary Models - A Review of the Work of Professor P.C.B. Phillips -," Econometric Theory, Vol. 30, 2014

 

44. "Distributions of Quadratic Functionals of the Fractional Brownian Motion Based on A Martingale Approximation," Econometric Theory, Vol.30, 2014

 

332 頁】

45. "Maximum Likelihood Estimation for the Non-Ergodic Fractional Ornstein-Uhlenbeck Process," Statistical Inference for Stochastic Processes, Vol. 18, 2015

 

46. “Statistical Inference Associated with the Fractional Brownian Motion,” Gakushuin GEM Report, 2016

 

47. “Cross-Sectional Effects of Common and Heterogeneous Regressors on Asymptotic Properties of Panel Autoregressive Unit Root Tests,”『学習院大学経済論集』,2018

 

48. "Computing Limiting Local Powers and Power Envelopes of Panel MA Unit Root Tests and Stationarity Tests," Econometric Theory, 2019

 

49. "Comparison of the LS-Based Estimators and the MLE for the Fractional Ornstein-Uhlenbeck Process," Statistical Inference for Stochastic Processes, Vol. 23, 2020

 

50. “Maximum Likelihood Estimation for the Fractional Vasicek Model," (with W. Xiao and J. Yu), Econometrics, Vol. 8, 2020

 

その他

<書評>「ウェーブレットと確率過程入門」(日本統計学会誌),第32巻,2002年

 

「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」(経済セミナー),第588号, 2004年

 

『数学辞典第4版』(岩波書店)時系列解析の項目執筆,2007年

 

『統計データ科学事典』(朝倉書店)時系列解析の項目執筆,2007年

 

『計量経済学ハンドブック』(朝倉書店)スペクトル解析,ウェーブレット解析の項目執筆, 2007年

 

<書評> D. B. Percival and A. T. Walden: Wavelet Methods for Time Series Analysis, Cambridge University Press. 日本数学会『数学』,第61巻,2009年

 

“Tribute to Professor C.W.J. Granger,” European Journal of Pure and Applied Mathematics, Vol. 3, 2010

 

“The ET Interview: Professor Katsuto Tanaka,” Econometric Theory, Vol.30, 2014

 

<監修>『時系列解析ハンドブック』(北川源四郎,川崎能典 共同監修),朝倉書店,2016年