Time series analysis
 Responsibility
 James D. Hamilton.
 Language
 English.
 Imprint
 Princeton, N.J. : Princeton University Press, c1994.
 Physical description
 xiv, 799 p. : ill. ; 26 cm.
Access
Available online
Math & Statistics Library

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QA280 .H264 1994

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QA280 .H264 1994
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QA280 .H264 1994

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Creators/Contributors
 Author/Creator
 Hamilton, James D. (James Douglas), 1954
Contents/Summary
 Bibliography
 Includes bibliographical references and indexes.
 Contents

 Preface Difference Equations 2Lag Operators 3Stationary ARMA Processes 4Forecasting 5Maximum Likelihood Estimation 6Spectral Analysis 7Asymptotic Distribution Theory 8Linear Regression Models 9Linear Systems of Simultaneous Equations 10CovarianceStationary Vector Processes 11Vector Autoregressions 12Bayesian Analysis 13The Kalman Filter 14Generalized Method of Moments 15Models of Nonstationary Time Series 16Processes with Deterministic Time Trends 17Univariate Processes with Unit Roots 18Unit Roots in Multivariate Time Series 19Cointegration 20FullInformation Maximum Likelihood Analysis of Cointegrated Systems 21Time Series Models of Heteroskedasticity 22Modeling Time Series with Changes in Regime A Mathematical Review B Statistical Tables C Answers to Selected Exercises D Greek Letters and Mathematical Symbols Used in the Text Author Index Subject Index.
 (source: Nielsen Book Data)
 Publisher's Summary
 The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to firstyear graduate students. James Hamilton provides the first adequate textbook treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, timevarying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems (including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing and interpreting realworld data. "Time Series Analysis" fills an important need for a textbook that integrates economic theory, econometrics, and new results. The book is intended to provide students and researchers with a selfcontained survey of time series analysis. It starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.
(source: Nielsen Book Data)
Subjects
 Subject
 Timeseries analysis.
Bibliographic information
 Publication date
 1994
 ISBN
 0691042896 (acidfree paper)
 9780691042893 (acidfree paper)