Time Series Analysis
List price: $130.00
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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 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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All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $130.00
Copyright year: 1994
Publisher: Princeton University Press
Publication date: 1/31/1994
Size: 7.00" wide x 10.25" long x 2.25" tall
|Stationary ARMA Processes|
|Maximum Likelihood Estimation|
|Asymptotic Distribution Theory|
|Linear Regression Models|
|Linear Systems of Simultaneous Equations|
|Covariance-Stationary Vector Processes|
|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|
|Full-Information Maximum Likelihood Analysis of Cointegrated Systems|
|Time Series Models of Heteroskedasticity|
|Modeling Time Series with Changes in Regime|
|Answers to Selected Exercises|
|Greek Letters and Mathematical Symbols Used in the Text|