Time series analysis (Book, 1994) [WorldCat.org]
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Time series analysis

Author: James D Hamilton
Publisher: Princeton, NJ : Princeton University, ©1994.
Edition/Format:   Print book : EnglishView all editions and formats
Se presentan unas herramientas tradicionales para el análisis de sistemas dinámicos, incluyendo representaciones lineales, covarianzas y análisis espectral.

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: James D Hamilton
ISBN: 0691042896 9780691042893
OCLC Number: 318237929
Target Audience: Pregrado; Maestria
Description: xiv, 799 p. ; 25 cm
Contents: Preface1Difference Equations12Lag Operators253Stationary ARMA Processes434Forecasting725Maximum Likelihood Estimation1176Spectral Analysis1527Asymptotic Distribution Theory1808Linear Regression Models2009Linear Systems of Simultaneous Equations23310Covariance-Stationary Vector Processes25711Vector Autoregressions29112Bayesian Analysis35113The Kalman Filter37214Generalized Method of Moments40915Models of Nonstationary Time Series43516Processes with Deterministic Time Trends45417Univariate Processes with Unit Roots47518Unit Roots in Multivariate Time Series54419Cointegration57120Full-Information Maximum Likelihood Analysis of Cointegrated Systems63021Time Series Models of Heteroskedasticity65722Modeling Time Series with Changes in Regime677A Mathematical Review704B Statistical Tables751C Answers to Selected Exercises769D Greek Letters and Mathematical Symbols Used in the Text786Author Index789Subject Index792
Responsibility: James D. Hamilton.
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A graduate-level text which describes the recent dramatic changes that have taken place in the way that researchers analyze economic and financial time series. It explores such important innovations  Read more...


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"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 Read more...

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