Hamilton, James D.
Time series analysis
Buch

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.


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Weiterführende Informationen


Personen: Hamilton, James D.

Schlagwörter: Zeitreihenanalyse

Interessenkreis: Fremdsprachig

Hamilton, James D.:
Time series analysis / James D. Hamilton. - Princeton, NJ : Princeton Univ. Press, 1994. - XIV, 799 S. : graph. Darst. ; 26 cm. - Literaturangaben.
ISBN 978-0-691-04289-3 hbk.

Zugangsnummer: 00015166 - Barcode: 2-9184204-4-00012297-9
Sozialwissenschaftliche Theorien und Methoden - Signatur: MR 2100 H217-01 - Buch