Time Series Analysis

ISBN-10: 0691042896

ISBN-13: 9780691042893

Edition: 1994

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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 economic theory with the practical difficulties of analyzing and interpreting real-world data.Time Series Analysisfills 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.

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Book details

List price: $130.00
Copyright year: 1994
Publisher: Princeton University Press
Publication date: 1/31/1994
Binding: Hardcover
Pages: 816
Size: 7.00" wide x 10.25" long x 2.25" tall
Weight: 4.180
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
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