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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.

519.246 --- Time-series analysis --- modeles economiques --- AA / International- internationaal --- 303.0 --- 304.0 --- 306.5 --- 519.55 --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- economische modellen --- Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken). --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Statistische analyse (methodologie). --- 519.246 Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- Time-series analysis. --- Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken) --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Statistische analyse (methodologie) --- Stochastic processes --- Statistical science --- Série chronologique --- 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. --- Time series analysis