Normal view MARC view ISBD view

Time series analysis / James D. Hamilton.

By: Hamilton, James D. (James Douglas), 1954-.
Material type: TextTextPublisher: Princeton, N.J. : Princeton University Press, c1994Description: xiv, 799 p. : ill. ; 26 cm.ISBN: 0691042896 (acidfree paper); 9780691042893.Subject(s): Time-series analysis | Statistical analysisDDC classification: 519.55 Online resources: WorldCat details | E-book Fulltext
Contents:
Table of contents 1. Difference Equations -- 2. Lag Operators -- 3. Stationary ARMA Processes -- 4. Forecasting -- 5. Maximum Likelihood Estimation -- 6. Spectral Analysis -- 7. Asymptotic Distribution Theory -- 8. Linear Regression Models -- 9. Linear Systems of Simultaneous Equations -- 10. Covariance-Stationary Vector Processes -- 11. Vector Autoregressions -- 12. Bayesian Analysis -- 13. The Kalman Filter -- 14. Generalized Method of Moments -- 15. Models of Nonstationary Time Series -- 16. Processes with Deterministic Time Trends -- 17. Univariate Processes with Unit Roots -- 18. Unit Roots in Multivariate Time Series -- 19. Cointegration -- 20. Full-Information Maximum Likelihood Analysis of Cointegrated Systems -- 21. Time Series Models of Heteroskedasticity -- 22. Modeling Time Series with Changes in Regime -- D Greek Letters and Mathematical Symbols Used in the Text.
Summary: "The last decade has brought dramatic changes in the way that researchers analyze time series data. This much-needed book synthesizes all of the major recent advances and develops a single, coherent presentation of the current state of the art of this increasingly important field. James Hamilton provides for the first time a thorough and detailed textbook account of important innovations such as vector Read more...
Tags from this library: No tags from this library for this title. Log in to add tags.
    Average rating: 0.0 (0 votes)
Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
E-Book E-Book EWU Library
E-book
Non-fiction 519.55 HAT 1994 (Browse shelf) Not for loan
Text Text EWU Library
519.55 HAT 1994 (Browse shelf) C-1 Available 24275
Text Text EWU Library
Reserve Section
Non-fiction 519.55 HAT 1994 (Browse shelf) C-2 Not For Loan 24276
Text Text EWU Library
Reserve Section
Non-fiction 519.55 HAT 1994 (Browse shelf) C-3 Not For Loan 24277
Text Text EWU Library
Circulation Section
Non-fiction 519.55 HAT 1994 (Browse shelf) C-4 Available 24278
Text Text EWU Library
519.55 HAT 1994 (Browse shelf) C-5 Available 24279
Text Text EWU Library
Circulation Section
Non-fiction 519.55 HAT 1994 (Browse shelf) C-6 Available 25288
Text Text EWU Library
Circulation Section
Non-fiction 519.55 HAT 1994 (Browse shelf) C-7 Available 25289
Text Text EWU Library
Circulation Section
Non-fiction 519.55 HAT 1994 (Browse shelf) C-8 Available 25290
Total holds: 0

Includes bibliographical references and index.

Table of contents 1. Difference Equations --
2. Lag Operators --
3. Stationary ARMA Processes --
4. Forecasting --
5. Maximum Likelihood Estimation --
6. Spectral Analysis --
7. Asymptotic Distribution Theory --
8. Linear Regression Models --
9. Linear Systems of Simultaneous Equations --
10. Covariance-Stationary Vector Processes --
11. Vector Autoregressions --
12. Bayesian Analysis --
13. The Kalman Filter --
14. Generalized Method of Moments --
15. Models of Nonstationary Time Series --
16. Processes with Deterministic Time Trends --
17. Univariate Processes with Unit Roots --
18. Unit Roots in Multivariate Time Series --
19. Cointegration --
20. Full-Information Maximum Likelihood Analysis of Cointegrated Systems --
21. Time Series Models of Heteroskedasticity --
22. Modeling Time Series with Changes in Regime --
D Greek Letters and Mathematical Symbols Used in the Text.

"The last decade has brought dramatic changes in the way that researchers analyze time series data. This much-needed book synthesizes all of the major recent advances and develops a single, coherent presentation of the current state of the art of this increasingly important field. James Hamilton provides for the first time a thorough and detailed textbook account of important innovations such as vector Read more...

Computer Science & Engineering

There are no comments for this item.

Log in to your account to post a comment.

Library Home | Contacts | E-journals
Copyright @ 2011-2019 EWU Library
East West University