Time series analysis
James D. Hamilton.
Bok Engelsk 1994 · Electronic books.
Utgitt | Princeton, N.J. : Princeton University Press , 1994
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Omfang | 1 online resource (820 pages)
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Opplysninger | 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.
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Emner | Time-series analysis
Tidsrekker Absolute summability. Autocovariance. Vis mer... Bartlett kernel.
Block exogeneity. Cointegrating vector. Consumption spending. Cospectrum. Dickey-Fuller test. EM algorithm. Exchange rates. Filters. Fundamental innovation. Gamma distribution. Global identification. Gross national product. Hessian matrix. Inequality constraints. Invertibility. Jacobian matrix. Joint density. Khinchine's theorem. Kronecker product. Lagrange multiplier. Loss function. Mean-value theorem. Mixingales. Monte Carlo method. Newton-Raphson. Order in probability. Orthogonal. Permanent income. Quadrature spectrum. Recessions. Reduced form. Sample periodogram. Stock prices. Taylor series. Vech operator. |
Sjanger | |
Dewey | |
ISBN | 0691042896
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