Time Series Analysis

Name: Time Series Analysis
Price: 50.04 USD
Availability: InStock
ISBN: 9780691042893

ISBN-10: 0691042896

ISBN-13: 9780691042893

Edition: 1994

Authors: James D. Hamilton

List price: $135.00

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Description:

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…

Book details

List price: $135.00
Copyright year: 1994
Publisher: Princeton University Press
Publication date: 1/31/1994
Binding: Hardcover
Pages: 816
Size: 6.97" wide x 9.84" long x 2.13" tall
Weight: 4.136
Language: English



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



Mathematical Review



Statistical Tables



Answers to Selected Exercises



Greek Letters and Mathematical Symbols Used in the Text


Author Index


Subject Index