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Time series analysis /
The last decade has brought dramatic changes in the way that researchers analyze time series data. This much-needed book synthesizes all of the major recent advances and develops a single, coherent presentation of the current state of the art of this increasingly important field. James Hamilton prov...
| Call Number: | QA280 H3.5 |
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| Main Author: | |
| Other Authors: | |
| Format: | Book |
| Language: | Inglés |
| Published: |
Princeton, N.J. :
Princeton University Press,
c1994.
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| Subjects: |
Table of Contents:
- Preface 1. Difference Equations
- 2. Lag Operators
- 3. Stationary ARMA Processes
- 4. Forecasting
- 5. Maximum Likelihood Estimation
- 6. Spectral Analysis
- 7. Asymptotic Distribution Theory
- 8. Linear Regression Models
- 9. Linear Systems of Simultaneous Equations
- 10. Covariance-Stationary Vector Processes
- 11. Vector Autoregressions
- 12. Bayesian Analysis
- 13. The Kalman Filter
- 14. Generalized Method of Moments
- 15.
- 15. Models of Nonstationary Time Series
- 16. Processes with Deterministic Time Trends
- 17. Univariate Processes with Unit Roots
- 18. Unit Roots in Multivariate Time Series
- 19. Cointegration
- 20. Full-Information Maximum Likelihood Analysis of Cointegrated Systems
- 21. Time Series Models of Heteroskedasticity
- 22. 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