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Hamilton J.D. Ч Time Series Analysis
Hamilton J.D. Ч Time Series Analysis

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Ќазвание: Time Series Analysis

јвтор: Hamilton J.D.


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.

язык: en

–убрика: ћатематика/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

√од издани€: 1994

 оличество страниц: 820

ƒобавлена в каталог: 26.02.2008

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
ѕредметный указатель
$O_p$      See Order in probability
$r^2$      202
2SLS      See Two-stage least squares
Absolute summability      52 64
Absolute summability, autocovariances and      52
Absolute summability, matrix sequences and      262 264
Absorbing state      680
Adaptive expectations      440
Adjoint      727
Ahn, S.K.      601 630
Aliasing      161
Almon, Shirley      360
Amemiya, Takeshi      227 421
Amplitude      708
Anderson, Brian D.O.      47 373 403
Anderson, T.W.      152 195
Andrews Ч Monahan standard errors      285
Andrews, Donald W.K.      190 191 197 284 285 412 425 513 533 618 698
Angrist, Joshua D.      253
Annihilation operator      78
ar      See Autoregression
arch      See Autoregressive conditional heteroskedasticity
Argand diagram      709
Arima      See Autoregressive integrated moving average
ARMA      See Autoregressive moving average
Ashley, Richard      109
Asset prices      360 422 667
Asymptotic distribution      See also Convergence
Asymptotic distribution, autoregression and      215
Asymptotic distribution, GMM and      414Ч415
Asymptotic distribution, limit theorems for serially dependent observations      186Ч195
Asymptotic distribution, of 2SLS estimator      241Ч242
Asymptotic distribution, review of      180Ч186
Asymptotic distribution, time trends and      454Ч460
Asymptotic distribution, unit root process and      475Ч477 504Ч506
Asymptotic distribution, vector autoregression and      298Ч302
Autocorrelation of a covariance-stationary process      49
Autocorrelation, GLS and      221Ч222
Autocorrelation, partial      111Ч112
Autocorrelation, sample      110Ч111
Autocovariance      45
Autocovariance matrix      261
Autocovariance, population spectrum and      155
Autocovariance, vector autoregression and      264Ч266
Autocovariance-generating function      61Ч64
Autocovariance-generating function, factoring      391
Autocovariance-generating function, Kalman filter and      391Ч294
Autocovariance-generating function, of sums of processes      106
Autocovariance-generating function, vector processes and      266Ч269
Autoregression (AR)      See also Unit root process; Vector autoregression
Autoregression (AR), first order      53Ч56 486Ч504
Autoregression (AR), forecasting      80Ч82
Autoregression (AR), maximum likelihood estimation for Gaussian      118Ч127
Autoregression (AR), parameter estimation      215Ч217
Autoregression (AR), pth order      58Ч59
Autoregression (AR), second order      56Ч58
Autoregression (AR), sums of      107Ч108
Autoregressive conditional heteroskedasticity (ARCH), ARCH-M      667
Autoregressive conditional heteroskedasticity (ARCH), comparison of alternative models      672
Autoregressive conditional heteroskedasticity (ARCH), EGARCH      668Ч669
Autoregressive conditional heteroskedasticity (ARCH), GARCH      665Ч667
Autoregressive conditional heteroskedasticity (ARCH), Gaussian disturbances      660Ч661
Autoregressive conditional heteroskedasticity (ARCH), generalized method of moments      664
Autoregressive conditional heteroskedasticity (ARCH), IGARCH      667
Autoregressive conditional heteroskedasticity (ARCH), maximum likelihood      660Ч662
Autoregressive conditional heteroskedasticity (ARCH), multivariate models      670Ч671
Autoregressive conditional heteroskedasticity (ARCH), Nelson's model      668Ч669
Autoregressive conditional heteroskedasticity (ARCH), non-Gaussian disturbances      661Ч662
Autoregressive conditional heteroskedasticity (ARCH), nonlinear specifications      669Ч670
Autoregressive conditional heteroskedasticity (ARCH), nonparametric estimates      671
Autoregressive conditional heteroskedasticity (ARCH), quasi-maximum likelihood      663Ч564
Autoregressive conditional heteroskedasticity (ARCH), semiparametric estimates      672
Autoregressive conditional heteroskedasticity (ARCH), testing for      664Ч665
Autoregressive Integrated Moving Average (ARIMA)      437
Autoregressive moving average (ARMA), autocovariance-generating function      63
Autoregressive moving average (ARMA), autoregressive processes      53Ч59
Autoregressive moving average (ARMA), expectations, stationarity, and ergodicity      43Ч47
Autoregressive moving average (ARMA), forecasting      83Ч84
Autoregressive moving average (ARMA), invertibility      64Ч68
Autoregressive moving average (ARMA), maximum likelihood estimation for Gaussian ARMA process      132Ч33
Autoregressive moving average (ARMA), mixed processes      59Ч61
Autoregressive moving average (ARMA), moving average processes      48Ч52
Autoregressive moving average (ARMA), non-Gaussian      127
Autoregressive moving average (ARMA), parameter estimation      132 387
Autoregressive moving average (ARMA), population spectrum for      155
Autoregressive moving average (ARMA), sums of      102Ч8
Autoregressive moving average (ARMA), white noise and      47Ч48
Baillie, Richard T.      336 573 662 666
Bandwidth      165 671
Barro, Robert J.      361
Bartlett kernel      167 276Ч277
Basis, cointegrating vectors and      574
Bates, Charles      427 664
Bayes's law      352
Bayesian analysis, diffuse / improper prior      353
Bayesian analysis, estimating mean of Gaussian distribution      352Ч353
Bayesian analysis, estimating regression model with lagged dependent variables      358
Bayesian analysis, estimating regression model with unknown variance      355Ч358
Bayesian analysis, introduction to      351Ч360
Bayesian analysis, mixture distributions      689
Bayesian analysis, Monte Carlo      365Ч366
Bayesian analysis, numerical methods      362Ч366
Bayesian analysis, posterior density      352
Bayesian analysis, prior density      351Ч352
Bayesian analysis, regime-switching models      689
Bayesian analysis, unit roots      532Ч34
Bayesian analysis, vector autoregression and      360Ч362
Bendt, E.K.      142 661
Bera, A.K.      670 672
Bernanke, Ben      330 335
Betancourt, Roger      226
Beveridge Ч Nelson decomposition      504
Beveridge, Stephen      504
Bhargava, A.      532
Bias      741
Bias, simultaneous equations      233Ч238
Billingsley, Patrick      481
Black, Fischer      672
Blanchard, Olivier      330 335
Block exogeneity      309 311Ч313
Block triangular factorization      98Ч100
Bloomfield, Peter      152
Blough, Stephen R.      445 562
Bollerslev, Tim      658 661 662 663 665 666 667 668 670 671 672
Bootstrapping      337
Bouissou, M.B.      305
Box Ч Cox transformation      126
Box Ч Jenkins methods      109Ч110
Box, George E.P.      72 109Ч10 111 126 132 133
Brock, W.A.      479
Brownian motion      477Ч479
Brownian motion, differential      547
Brownian motion, standard      478 544
Broyden, C G.      142
Bubble      38
Burmeister, Edwin      386 388
Business cycle frequency      168Ч169
Butler, J.S.      664
Cai, Jun      662
Caines, Peter E.      387 388
Calculus      711Ч721
Campbell, John Y.      444 516 573
Canonical cointegration      618
Canonical correlation, population      630Ч633
Canonical correlation, sample      633Ч635
Cao, Charles Q.      666
Cauchy convergence      69Ч70
Cauchy Ч Schwarz inequality      49 745
Cecchetti, Stephen G.      532
Central limit theorem      185Ч186
Central limit theorem, functional      479Ч486
Central limit theorem, Martingale difference sequence      193Ч195
Central limit theorem, stationary stochastic process      195
Chain rule      712
Chan, N.H.      483 532
Chebyshev's inequality      182Ч183
Chi-square distribution      746 753
Chiang, Alpha C.      135 704
Chiang, Chin Long      19n 23n
Cho, Dongchul      672
Choi, B.      532 601
Cholesky factorization      91Ч92 147
Chou, Ray Y.      658 665 668
Christiano, Lawrence J.      305 445 447 653
Clarida, Richard      573
Clark, Peter K.      444
Cochrane Ч Orcutt estimation      224 324
Cochrane, John H.      444 445 531
Coefficient of relative risk aversion      423
Coherence, population      275
Cointegrating vector      574 648Ч650
Cointegration      571
Cointegration, basis      574
Cointegration, canonical      618
Cointegration, cointegrating vector      574 648Ч650
Cointegration, common trends representation (Stock Ч Watson)      578
Cointegration, description of      571Ч582
Cointegration, error-correction representation      580Ч581
Cointegration, full-information maximum likelihood and hypothesis testing      645Ч650
Cointegration, full-information maximum likelihood and Johansen's algorithm      635Ч638
Cointegration, full-information maximum likelihood and motivation for auxiliary regressions      638Ч639
Cointegration, full-information maximum likelihood and motivation for canonical correlations      639Ч642
Cointegration, full-information maximum likelihood and motivation for parameter estimates      642Ч643
Cointegration, full-information maximum likelihood and parameter estimates      637Ч638
Cointegration, full-information maximum likelihood and population canonical correlations      630Ч633
Cointegration, full-information maximum likelihood and sample canonical correlations      633Ч635
Cointegration, full-information maximum likelihood and without deterministic time trends      643Ч645
Cointegration, Granger representation theorem      581Ч582
Cointegration, hypothesis testing      601Ч618
Cointegration, moving average representation      574Ч575
Cointegration, Philiips Ч Ouliaris Ч Hansen tests      598Ч599
Cointegration, testing for      582Ч601 645
Cointegration, triangular representation (Phillips)      576Ч578
Cointegration, vector autoregression and      579Ч580
Complex congugate      710
complex numbers      708Ч711
Complex unit circle      709
Concentrated likelihood      638
Conditional distributions      741Ч742
Conditional expectation      742
Conditional expectation for Gaussian variables      102
Conditional likelihood, vector autoregression and      291Ч293
Conjugate pair      710
Conjugate transposes      734Ч735
Consistent      181 749
Consumption spending      361 572 600Ч601 610Ч612 650
Continuity      711
Continuous function      711 735
Continuous mapping theorem      482Ч483
Continuous time process      478
Convergence, Cauchy criterion      69Ч70
Convergence, for numerical optimization      134 137
Convergence, in distribution      183Ч185
Convergence, in mean square      182Ч183 749
Convergence, in probability      181Ч182 749
Convergence, Kalman filter and      389Ч390
Convergence, limits of deterministic sequences      180
Convergence, of random functions      481
Convergence, ordinary      180
Convergence, weak      183
Cooley, Thomas F.      335
Corbae, Dean      573
Correlation, canonical      630Ч635
Correlation, population      743
Cosine      704 706Ч707
Cospectrum      271Ч272
Covariance restrictions, identification and      246Ч247
Covariance, population      742
Covariance, triangular factorization and      114Ч115
Covariance-stationary      45Ч46 258
Covariance-stationary, law of large numbers and      186Ч189
Cox, D.R.      126 681 685
Cramer Ч Wold theorem      184
Cramer, Harald      157 184 411 427
Cross spectrum      270
Cross validation      671
Davidon Ч Fletcher Ч Powell      139Ч42
Davidon, W.C.      139Ч42
Davidson, James E.H.      571 572 581
Davies, R.B.      698
Day, Theodore E.      672
De Moivre's theorem      153 716Ч17
DeGroot, Morris H.      355 362
DeJong, David N.      533
Dempster, A.P.      387 689
Density/ies      739. See also Distribution unconditional 44
Dent, Warren      305
Derivative(s) of matrix expressions      294 737
Derivative(s) of simple functions      711Ч12
Derivative(s) of vector-valued functions      737
Derivative(s), partial      735
Derivative(s), second-order      712 736
Determinant      724Ч27
Determinant of block diagonal matrix      101
Deterministic time trends      See Time trends
Diamond, Peter      335
Dickey Ч Fuller test      490 502 528Ч529 762Ч764
Dickey Ч Fuller test, augmented      516 528
Dickey Ч Fuller test, F test      494 524
Dickey, David A.      475 483 493 506 516 530 532
Diebold, Francis X.      361 449 671 690 691
Difference equation, dynamic multipliers      2Ч7
Difference equation, first-order      1Ч7 27Ч29
Difference equation, pth-order      7Ч20 33Ч36
Difference equation, repeated eigenvalues      18Ч19
Difference equation, second-order      17 29Ч33
Difference equation, simulating      10
Difference equation, solving by recursive substitution      1Ч2
Difference stationary      444
Distributions      739. See also Asymptotic distribution
Distributions, chi-square      746 753
Distributions, conditional      741Ч742
Distributions, convergence in      183Ч185
Distributions, F      205Ч207 357 746 756Ч760
Distributions, gamma      355
Distributions, Gaussian      745Ч746 748Ч749 751Ч752
Distributions, generalized error      668
Distributions, joint      741
Distributions, joint density-      686
Distributions, marginal      741
Distributions, mixture      685Ч689
Distributions, Normal      745Ч746 748Ч749 751Ч52
Distributions, posterior      352
Distributions, prior      351Ч352
Distributions, probability      739
Distributions, t      205 356Ч357 409Ч410 746 755
Doan, Thomas A.      362 402Ч3
Duplication matrix      301
Durbin, James      226
Durland, J.Michael      691
Durlauf, Steven N.      444 547 587
Dynamic multipliers      2Ч7 442Ч444
Dynamic multipliers, calculating by simulation      2Ч3
Edison, Hali J.      672
Efficient estimate      741
Efficient markets hypothesis      306
Eichenbaum, Martin      445
Eicker, F.      218
Eigenvalues      729Ч732
Eigenvectors      729Ч730
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