Time series analysis:
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 inn...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Princeton, New Jersey]
Princeton University Press
1. September 2020
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| Subjects: | |
| Online Access: | DE-1043 DE-1046 DE-858 DE-859 DE-860 DE-188 DE-473 DE-20 DE-739 Volltext |
| Summary: | 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 |
| Physical Description: | 1 Online-Ressource (XIV, 799 Seiten) Diagramme |
| ISBN: | 9780691218632 |
| DOI: | 10.1515/9780691218632 |
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| 520 | |a 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 | ||
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| 650 | 4 | |a Order in probability | |
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| discipline | Soziologie Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV047111895 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T16:26:43Z |
| indexdate | 2025-05-26T06:00:09Z |
| institution | BVB |
| isbn | 9780691218632 |
| language | English |
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| physical | 1 Online-Ressource (XIV, 799 Seiten) Diagramme |
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| spelling | Hamilton, James D. 1954- Verfasser (DE-588)122825950 aut Time series analysis James D. Hamilton [Princeton, New Jersey] Princeton University Press 1. September 2020 1 Online-Ressource (XIV, 799 Seiten) Diagramme txt rdacontent c rdamedia cr rdacarrier 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 1994 Absolute summability;Autocovariance;Bartlett kernel;Block exogeneity;Cointegrating vector;Consumption spending;Cospectrum;Dickey-Fuller test;EM algorithm Exchange rates Filters Fundamental innovation Gamma distribution Global identification Gross national product Hessian matrix Inequality constraints Invertibility Jacobian matrix Joint density Khinchine's theorem Kronecker product Lagrange multiplier Loss function Mean-value theorem Mixingales Monte Carlo method Newton-Raphson Order in probability Orthogonal Permanent income Quadrature spectrum Recessions Reduced form Sample periodogram Stock prices Taylor series Vech operator BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Erscheint auch als Druck-Ausgabe 978-0-691-04289-3 https://doi.org/10.1515/9780691218632 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Hamilton, James D. 1954- Time series analysis Absolute summability;Autocovariance;Bartlett kernel;Block exogeneity;Cointegrating vector;Consumption spending;Cospectrum;Dickey-Fuller test;EM algorithm Exchange rates Filters Fundamental innovation Gamma distribution Global identification Gross national product Hessian matrix Inequality constraints Invertibility Jacobian matrix Joint density Khinchine's theorem Kronecker product Lagrange multiplier Loss function Mean-value theorem Mixingales Monte Carlo method Newton-Raphson Order in probability Orthogonal Permanent income Quadrature spectrum Recessions Reduced form Sample periodogram Stock prices Taylor series Vech operator BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4067486-1 |
| title | Time series analysis |
| title_auth | Time series analysis |
| title_exact_search | Time series analysis |
| title_exact_search_txtP | Time series analysis |
| title_full | Time series analysis James D. Hamilton |
| title_fullStr | Time series analysis James D. Hamilton |
| title_full_unstemmed | Time series analysis James D. Hamilton |
| title_short | Time series analysis |
| title_sort | time series analysis |
| topic | Absolute summability;Autocovariance;Bartlett kernel;Block exogeneity;Cointegrating vector;Consumption spending;Cospectrum;Dickey-Fuller test;EM algorithm Exchange rates Filters Fundamental innovation Gamma distribution Global identification Gross national product Hessian matrix Inequality constraints Invertibility Jacobian matrix Joint density Khinchine's theorem Kronecker product Lagrange multiplier Loss function Mean-value theorem Mixingales Monte Carlo method Newton-Raphson Order in probability Orthogonal Permanent income Quadrature spectrum Recessions Reduced form Sample periodogram Stock prices Taylor series Vech operator BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Absolute summability;Autocovariance;Bartlett kernel;Block exogeneity;Cointegrating vector;Consumption spending;Cospectrum;Dickey-Fuller test;EM algorithm Exchange rates Filters Fundamental innovation Gamma distribution Global identification Gross national product Hessian matrix Inequality constraints Invertibility Jacobian matrix Joint density Khinchine's theorem Kronecker product Lagrange multiplier Loss function Mean-value theorem Mixingales Monte Carlo method Newton-Raphson Order in probability Orthogonal Permanent income Quadrature spectrum Recessions Reduced form Sample periodogram Stock prices Taylor series Vech operator BUSINESS & ECONOMICS / Investments & Securities / General Time-series analysis Zeitreihenanalyse |
| url | https://doi.org/10.1515/9780691218632 |
| work_keys_str_mv | AT hamiltonjamesd timeseriesanalysis |