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Time Series Analysis

Опубликовано на портале: 02-03-2004
Princeton: Princeton University Press, 2002
Тематический раздел:
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 first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying 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 real-world 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 self-contained 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.

  • Preface
  • Difference Equations
  • Lag Operators
  • Stationary ARMA Processes
  • Forecasting
  • Maximum Likelihood Estimation
  • Spectral Analysis
  • Asymptotic Distribution Theory
  • Linear Regression Models
  • Linear Systems of Simultaneous Equations
  • Covariance-Stationary Vector Processes
  • Vector Autoregressions
  • Bayesian Analysis
  • The Kalman Filter
  • Generalized Method of Moments
  • Models of Nonstationary Time Series
  • Processes with Deterministic Time Trends
  • Univariate Processes with Unit Roots
  • Unit Roots in Multivariate Time Series
  • Cointegration
  • Full-Information Maximum Likelihood Analysis of Cointegrated Systems
  • Time Series Models of Heteroskedasticity
  • Modeling 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
  • Ключевые слова

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