ISBN-10:
0691042896
ISBN-13:
9780691042893
Pub. Date:
01/31/1994
Publisher:
Princeton University Press
Time Series Analysis / Edition 1

Time Series Analysis / Edition 1

by James Douglas Hamilton

Hardcover

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Product Details

ISBN-13: 9780691042893
Publisher: Princeton University Press
Publication date: 01/31/1994
Edition description: New Edition
Pages: 816
Product dimensions: 6.00(w) x 9.00(h) x (d)
Age Range: 18 Years

About the Author


James D. Hamilton is Professor of Economics at the University of California, San Diego.

Table of Contents

Preface

1 Difference Equations 1

2 Lag Operators 25

3 Stationary ARMA Processes 43

4 Forecasting 72

5 Maximum Likelihood Estimation 117

6 Spectral Analysis 152

7 Asymptotic Distribution Theory 180

8 Linear Regression Models 200

9 Linear Systems of Simultaneous Equations 233

10 Covariance-Stationary Vector Processes 257

11 Vector Autoregressions 291

12 Bayesian Analysis 351

13 The Kalman Filter 372

14 Generalized Method of Moments 409

15 Models of Nonstationary Time Series 435

16 Processes with Deterministic Time Trends 454

17 Univariate Processes with Unit Roots 475

18 Unit Roots in Multivariate Time Series 544

19 Cointegration 571

20 Full-Information Maximum Likelihood Analysis of Cointegrated Systems 630

21 Time Series Models of Heteroskedasticity 657

22 Modeling Time Series with Changes in Regime 677

A Mathematical Review 704

B Statistical Tables 751

C Answers to Selected Exercises 769

D Greek Letters and Mathematical Symbols Used in the Text 786

Author Index 789

Subject Index 792


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Cochrane

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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"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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