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Time Series Analysis : International Studen - James Douglas Hamilton

Time Series Analysis

International Studen

Hardcover

Published: 11th January 1994
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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.

"A carefully prepared and well written book... Without doubt, it can be recommended as a very valuable encyclopedia and textbook for a reader who is looking for a mainly theoretical textbook which combines traditional time series analysis with a review of recent research areas."--Journal of Economics

Preface
Difference Equationsp. 1
Lag Operatorsp. 25
Stationary ARMA Processesp. 43
Forecastingp. 72
Maximum Likelihood Estimationp. 117
Spectral Analysisp. 152
Asymptotic Distribution Theoryp. 180
Linear Regression Modelsp. 200
Linear Systems of Simultaneous Equationsp. 233
Covariance-Stationary Vector Processesp. 257
Vector Autoregressionsp. 291
Bayesian Analysisp. 351
The Kalman Filterp. 372
Generalized Method of Momentsp. 409
Models of Nonstationary Time Seriesp. 435
Processes with Deterministic Time Trendsp. 454
Univariate Processes with Unit Rootsp. 475
Unit Roots in Multivariate Time Seriesp. 544
Cointegrationp. 571
Full-Information Maximum Likelihood Analysis of Cointegrated Systemsp. 630
Time Series Models of Heteroskedasticityp. 657
Modeling Time Series with Changes in Regimep. 677
Mathematical Reviewp. 704
Statistical Tablesp. 751
Answers to Selected Exercisesp. 769
Greek Letters and Mathematical Symbols Used in the Textp. 786
Author Indexp. 789
Subject Indexp. 792
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780691042893
ISBN-10: 0691042896
Series: International Studen
Audience: Tertiary; University or College
Format: Hardcover
Language: English
Number Of Pages: 816
Published: 11th January 1994
Country of Publication: US
Dimensions (cm): 25.7 x 17.8  x 5.4
Weight (kg): 1.78