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Original Essays | February 8, 2012

Kent Hartman: IMG A Raider by Any Other Name

2 comments By Kent Hartman

Perhaps you are aware of the fact that there is an oddly popular trivia game floating around that a group of clever (and likely bored) college... Continue »
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Time Series Analysis (94 Edition)

by James Hamilton

Time Series Analysis (94 Edition) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

"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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Table of Contents

Preface
1Difference Equations1
2Lag Operators25
3Stationary ARMA Processes43
4Forecasting72
5Maximum Likelihood Estimation117
6Spectral Analysis152
7Asymptotic Distribution Theory180
8Linear Regression Models200
9Linear Systems of Simultaneous Equations233
10Covariance-Stationary Vector Processes257
11Vector Autoregressions291
12Bayesian Analysis351
13The Kalman Filter372
14Generalized Method of Moments409
15Models of Nonstationary Time Series435
16Processes with Deterministic Time Trends454
17Univariate Processes with Unit Roots475
18Unit Roots in Multivariate Time Series544
19Cointegration571
20Full-Information Maximum Likelihood Analysis of Cointegrated Systems630
21Time Series Models of Heteroskedasticity657
22Modeling Time Series with Changes in Regime677
A Mathematical Review704
B Statistical Tables751
C Answers to Selected Exercises769
D Greek Letters and Mathematical Symbols Used in the Text786
Author Index789
Subject Index792

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Product Details

ISBN:
9780691042893
Author:
Hamilton, James
Publisher:
Princeton University Press
Author:
Hamilton, James Douglas
Location:
Princeton, N.J. :
Subject:
Statistics
Subject:
Time-series analysis
Subject:
Probability & Statistics - General
Subject:
Investments & Securities - General
Subject:
Investments & Securities
Subject:
Economics
Subject:
Finance
Subject:
Economi
Subject:
CS
Subject:
Mathematics | Probability and Statistics
Copyright:
1994
Edition Description:
Includes bibliographical references and indexes.
Series Volume:
SCS/79/WP/85
Publication Date:
January 1994
Binding:
Hardback
Grade Level:
College/higher education:
Language:
English
Illustrations:
Yes
Pages:
820
Dimensions:
9 x 6 in 60 oz
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Time Series Analysis (94 Edition) New Hardcover
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Product details 820 pages Princeton University Press - English 9780691042893 Reviews:
"Synopsis" by , "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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