Time Series Analysis
(Sprache: Englisch)
"I am extremely enthusiastic about this book. I think it will quickly become a classic. Like Sargent's and Varian's texts, it will be a centerpiece of the core cirriculum for graduate students."--John H. Cochrane, University of Chicago
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Klappentext zu „Time Series Analysis “
"I am extremely enthusiastic about this book. I think it will quickly become a classic. Like Sargent's and Varian's texts, it will be a centerpiece of the core cirriculum for graduate students."--John H. Cochrane, University of Chicago
Inhaltsverzeichnis zu „Time Series Analysis “
Preface Difference Equations 2Lag Operators 3Stationary ARMA Processes 4Forecasting 5Maximum Likelihood Estimation 6Spectral Analysis 7Asymptotic Distribution Theory 8Linear Regression Models 9Linear Systems of Simultaneous Equations 10Covariance-Stationary Vector Processes 11Vector Autoregressions 12Bayesian Analysis 13The Kalman Filter 14Generalized Method of Moments 15Models of Nonstationary Time Series 16Processes with Deterministic Time Trends 17Univariate Processes with Unit Roots 18Unit Roots in Multivariate Time Series 19Cointegration 20Full-Information Maximum Likelihood Analysis of Cointegrated Systems 21Time Series Models of Heteroskedasticity 22Modeling 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
Autoren-Porträt von James D. Hamilton
James D. Hamilton
Bibliographische Angaben
- Autor: James D. Hamilton
- 1994, 816 Seiten, mit Abbildungen, Masse: 18,1 x 25,8 cm, Gebunden, Englisch
- Verlag: Princeton University Press
- ISBN-10: 0691042896
- ISBN-13: 9780691042893
- Erscheinungsdatum: 31.01.1994
Sprache:
Englisch
Rezension zu „Time Series Analysis “
"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
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