Time Series Analysis (eBook)

James D. Hamilton (Autor)

eBook Download: PDF

2020
816 Seiten
Princeton University Press (Verlag)
978-0-691-21863-2 (ISBN)

Infos

An authoritative, self-contained overview of time series analysis for students and researchersThe past decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This textbook synthesizes these advances and makes them accessible to first-year graduate students. James Hamilton provides comprehensive 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 systemsincluding linear representations, autocovariance generating functions, spectral analysis, and the Kalman filterin 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.This invaluable book 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.

Produkt-Details

• Erscheint lt. Verlag: 1.9.2020
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Geld / Bank / Börse
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Absolute summability • Accuracy and precision • Almost surely • Asymptotic Distribution • autocorrelation • autocovariance • Autoregressive conditional heteroskedasticity • Autoregressive model • Autoregressive–moving-average model • Bartlett kernel • Bayesian inference • Bayesian Statistics • Big O notation • Block exogeneity • Box–Jenkins • canonical correlation • central limit theorem • Chi-squared test • coefficient • Cointegrating vector • Cointegration • Conditional probability distribution • Confidence region • Constant term • Consumption spending • Cospectrum • Covariance matrix • Cross-validation (statistics) • Cumulative distribution function • Degrees of freedom (statistics) • Determinant • Dickey-Fuller test • Dickey–Fuller test • Dummy variable (statistics) • Eigenvalues and Eigenvectors • EM algorithm • Equation • ergodic process • Errors and residuals • Error Term • estimation • Estimator • Exchange rates • existential quantification • expectation–maximization algorithm • F-distribution • Filters • Fisher Information • Forecast Error • Forecasting • F-Test • Fundamental innovation • Gamma distribution • generalized least squares • Generalized method of moments • Global identification • Granger Causality • gross national product • Hessian Matrix • Heteroscedasticity • Independent and identically distributed random variables • Inequality constraints • inference • instrumental variable • Invertibility • Jacobian Matrix • Joint density • Joint probability distribution • Kalman Filter • Khinchine's theorem • Kronecker Product • Lag operator • Lagrange multiplier • law of large numbers • Least Squares • Likelihood Function • Likelihood-ratio test • Linear least squares (mathematics) • linear regression • Loss Function • Markov Chain • Martingale difference sequence • Mathematical Optimization • Maxima and minima • Maximum a posteriori estimation • maximum likelihood estimation • Mean-value theorem • Mixingales • Monte Carlo Method • Moving-average model • natural logarithm • Newton-Raphson • Newton's method • Normal distribution • Nuisance parameter • null hypothesis • Order condition • Order in probability • orthogonal • Parameter • Permanent income • posterior probability • Prior probability • Probability • Projection (linear algebra) • Quadrature spectrum • Quasi-maximum likelihood estimate • Random Variable • Rate of Convergence • recessions • Reduced form • Sample periodogram • Seemingly unrelated regressions • Simple Linear Regression • Simultaneous Equations • Single-equation methods (econometrics) • Special case • standard deviation • standard error • stationary process • Statistic • Statistical hypothesis testing • Statistical Inference • Stock Prices • Student's t-test • Taylor series • test statistic • Time Series • Triangular Matrix • t-statistic • unit root • Unit root test • Variable (mathematics) • Variance • Vech operator • vector autoregression
• ISBN-10: 0-691-21863-3 / 0691218633
• ISBN-13: 978-0-691-21863-2 / 9780691218632