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Hamilton J.D. — Time Series Analysis
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Íàçâàíèå: Time Series AnalysisÀâòîð: Hamilton J.D. Àííîòàöèÿ: 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.
ßçûê: Ðóáðèêà: Ìàòåìàòèêà /Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö ed2k: ed2k stats Ãîä èçäàíèÿ: 1994Êîëè÷åñòâî ñòðàíèö: 820Äîáàâëåíà â êàòàëîã: 26.02.2008Îïåðàöèè: Ïîëîæèòü íà ïîëêó |
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Ïðåäìåòíûé óêàçàòåëü
Lewis, Craig M. 672 Li, W.K. 127 Liitkepohl, Helmut 336 339 Likelihood function 746—747. See also Maximum likelihood estimation (MLE) Likelihood function, concentrating 638 Likelihood function, vector autoregression and 291—294 310—311 Likelihood ratio test 144—145 296—298 648—650 Lilien, David M. 667 672 LIMIT See Convergence Linear dependence 728—729 Linear dependence, Geweke's measure of 313—314 Linear projection, forecasts and 74—76 92—100 Linear projection, multivariate 75 Linear projection, ordinary least squares regression and 75—76 113—114 Linear projection, properties of 74—75 Linear projection, updating 94 Linear regression See also Generalized least squares (GLS); Generalized method of moments (GMM); Ordinary least squares (OLS) Linear regression, algebra of 200—202 Linear regression, review of OLS and i.i.d. 200—207 Linearly deterministic 109 Linearly indeterministic 109 Litterman, Robert B. 360—62 402—3 Ljungqvist, Lars 305 447 653 Lo, Andrew W. 449 531 532 Local identification 334 388 Local maximum 134 137 226 Logarithms 717—718 Long-run effect 6—7 Loretan, Mico 608 613 Loss function 72 Lucas, Robert E., Jr. 306 MA See Moving average MacKinlay, A.Craig 531 532 Maddala, G.S. 250 Magnus, Jan R. 302 317 318 704 Makov, U.E. 689 Malinvaud, E. 411 Malliaris, A.G. 479 Mankiw, N. Gregory 361 444 Mark, Nelson 664 Markov chain 678 Markov chain, absorbing state 680 Markov chain, ergodic 681—682 Markov chain, forecasting 680 Markov chain, periodic 685 Markov chain, reducible 680 Markov chain, transition matrix 679 Markov chain, two-state 683—84 Markov chain, vector autoregressive representation 679 Marsden, Jerrold E. 196 704 Martin, R.D. 127 Martingale difference sequence 189—190 193—195 Matrix / matrices, adjoint 727 Matrix / matrices, conjugate transposes 734—735 Matrix / matrices, determinant 724—727 Matrix / matrices, diagonal 721 Matrix / matrices, duplication 301 Matrix / matrices, gain 380 Matrix / matrices, geometric series 732 Matrix / matrices, Hessian 139 736 Matrix / matrices, idempotent 201 Matrix / matrices, identity 722 Matrix / matrices, information 143—144 429 Matrix / matrices, inverse 727—728 Matrix / matrices, Jacobian 737 Matrix / matrices, Jordan decomposition 730—731 Matrix / matrices, lower triangular 725 Matrix / matrices, nonsingular 728 Matrix / matrices, optimal weighting 412—414 Matrix / matrices, partitioned 724 Matrix / matrices, positive definite 733—734 Matrix / matrices, positive semide&nite 733 Matrix / matrices, power of 722 Matrix / matrices, singular 728 Matrix / matrices, square 721 Matrix / matrices, symmetric 723 Matrix / matrices, trace of 723—724 Matrix / matrices, transition 679 Matrix / matrices, transposition 723 Matrix / matrices, triangular 729 Matrix / matrices, triangular factorization 87 Matrix / matrices, upper triangular 727 Maximum likelihood estimation (MLE) 117 747. Maximum likelihood estimation (MLE), asymptotic properties of 142—145 429—430 Maximum likelihood estimation (MLE), concentrated 638 Maximum likelihood estimation (MLE), conditional 122 125—126 Maximum likelihood estimation (MLE), EM algorithm and 688—689 Maximum likelihood estimation (MLE), full-information maximum likelihood 247—250 Maximum likelihood estimation (MLE), Gaussian AR process and 118—127 Maximum likelihood estimation (MLE), Gaussian ARMA process and 132—133 Maximum likelihood estimation (MLE), Gaussian MA process and 127—131 Maximum likelihood estimation (MLE), general coefficient constraints and 315—318 Maximum likelihood estimation (MLE), global maximum 134 137 Maximum likelihood estimation (MLE), GLS and 222 Maximum likelihood estimation (MLE), GMM and 427—431 Maximum likelihood estimation (MLE), Kalman filter and 385—389 Maximum likelihood estimation (MLE), local 134 137 Maximum likelihood estimation (MLE), prediction error decomposition 122 129 Maximum likelihood estimation (MLE), regularity conditions 427 698 Maximum likelihood estimation (MLE), standard errors for 143—144 429—430 Maximum likelihood estimation (MLE), statistical inference with 142—145 Maximum likelihood estimation (MLE), vector autoregression and 291—302 309—318 Maximum likelihood estimation (MLE), Wald test for 429—430 McCurdy, Thomas H. 691 McLeod, A.I. 127 Mean square, convergence in 182—183 749 Mean squared error (MSE) 73 Mean squared error (MSE), of linear projection 74 75 77 Mean, ergodic for the 47 Mean, population 739 Mean, sample 186—195 279—285 740—741 Mean, unconditional 44 Mean-value theorem 196 Meese, Richard 305 Milh0j, Anders 662 670 Miller, H.D. 681 685 Mixingales 190—192 Mixture distribution 685—689 MLE See Maximum likelihood estimation (MLE) Modulus 709 Moments See also Generalized method of moments (GMM) Moments, population 739—740 744—745 Moments, posterior 363—365 Moments, sample 740—741 Moments, second 45 92—95 192—193 Monahan, J.Christopher 284 285 618 Money demand 1 324 Monfort, A. 431 670 Monte Carlo method 216 337 365—366 398 Moore, John B. 47 373 403 Mosconi, Rocco 650 Moving average (MA), cointegration and 574—575 Moving average (MA), first order 48—49 Moving average (MA), forecasting 82—83 95—98 Moving average (MA), infinite order 51—52 Moving average (MA), maximum likelihood estimation for Gaussian 127—131 387 Moving average (MA), parameter estimation 132 387 Moving average (MA), population spectrum for 154—155 276 Moving average (MA), qth order 50—51 Moving average (MA), sums of 102—107 Moving average (MA), vector 262—264 MSE See Mean squared error (MSE) Mustafa, C. 672 Muth, John F. 440 Nason, James A. 361 Nelson, Charles R. 109 253 426 444 504 Nelson, Daniel B. 662 666 667 668 672 Nelson, Harold L. 126 Nerlove, Mark 671 Neudecker, Heinz 302 704 Newbold, Paul 557 Newey — West estimator 220 281—282 Newey, Whitney K. 220 281—82 284 414 Newton-Raphson 138—139 Ng, Victor K. 668 671 672 Nicholls, D.F. 218 Noh, Jason 672 Nonparametric estimation See also Kernel Nonparametric estimation, bandwidth 165 671 Nonparametric estimation, conditional variance and 671 Nonparametric estimation, cross validation 671 Nonparametric estimation, population spectrum 165—167 Nonsingular 728 Nonstochastic 739 Normal distribution 745—746 748—749 751—752 Normalization, cointegration and 589 Numerical optimization, convergence criterion 134 137 Numerical optimization, Davidon — Fletcher — Powell 139—142 Numerical optimization, EM algorithm 688—689 696 Numerical optimization, grid search 133—134 Numerical optimization, inequality constraints 146—148 Numerical optimization, Newton — Raphson 138—139 Numerical optimization, numerical maximization 133 146 Numerical optimization, numerical minimization 142 Numerical optimization, steepest ascent 134—137 O'Nan, Michael 203 704 Observation equation 373 Ogaki, Masao 424 573 575 618 651 Ohanian, Lee E. 554 Oil prices, effects of 307—308 OLS See Ordinary least squares Operators, annihilation 78 Operators, first-difference 436 Operators, time series 25—26 Option prices 672 Order in probability 460 Ordinary least squares (OLS) See also Generalized least squares (GLS); Hypothesis tests; Regression Ordinary least squares (OLS), algebra of 75—76 200—202 Ordinary least squares (OLS), autocorrelated disturbances 217 282—283 Ordinary least squares (OLS), chi-square test 213 Ordinary least squares (OLS), distribution theory 209 432—433 Ordinary least squares (OLS), estimated coefficient vector 202—203 Ordinary least squares (OLS), F test 205—207 Ordinary least squares (OLS), GMM and 416—418 Ordinary least squares (OLS), heteroskedasticity 217 282—283 Ordinary least squares (OLS), linear projection and 75—76 113—114 Ordinary least squares (OLS), non-Gaussian disturbances 209 Ordinary least squares (OLS), t test 204 205 Ordinary least squares (OLS), time trends and 454—460 Orthogonal 743 Orthogonality conditions 411 Orthogonalized impulse-response function 322 Ouliaris, Sam 573 593 601 630 Outer-product estimate 143 Pagan, A.R. 218 389 668 671 672 Pantula, S.G. 532 670 Park, Joon Y. 214 483 532 547 549 573 575 601 618 651 Partial autocorrelation, population 111—112 Partial autocorrelation, sample 111—112 Parzen kernel 283 Pearce, Douglas K. 305 Period 708 Periodic 707 Periodic, Markov chain 685 Periodogram, multivariate 272—275 Periodogram, univariate 158—163 Permanent income 440 Perron, Pierre 449 475 506—16 Phase 275 708 Phillips triangular representation 576—578 Phillips — Ouliaris — Hansen tests 599 Phillips — Perron tests 506—514 762—763 Phillips, G.D. A. 386 Phillips, Peter C.B. 195 214 475 483 487 506—516 532 533 534 545 547 549 554 557 576—578 587 593 601 608 613—618 630 650 651 Pierce, David A. 305 Plim 181 749 Ploberger, Werner 698 Plosser, Charles I. 444 573 Polar coordinates 704—705 710 Polynomial m lag operator 27 258 Population, canonical correlations 630—633 Population, coherence 275 Population, correlation 743 Population, covariance 742 Population, moments 739—740 744—745 Population, spectrum 61—62 152—157 163—167 269 276—277 Port, Sidney C. 749 Porter-Hudak, Susan 449 Posterior density 352 Powell, M.J.D. 139—42 Power series 714 PRECISION 355 Predetermined 238 Prediction error decomposition 122 129 310 Present value 4 19—20 Principal diagonal 721 Prior distribution 351 Probability limit 181 749 pth-order autoregressive process 58—59 pth-order difference equations 7—20 33—36 Pukkila, Tarmo 133 Purchasing power parity See Exchange rates qth-order moving average 50—51 Quadratic equations 710—711 Quadratic spectral kernel 284 Quadrature spectrum 271 Quah, Danny 335 Quandt, Richard E. 142 Quasi-maximum likelihood estimate 126 145 430—431 Quasi-maximum likelihood estimate, ARCH 663—664 Quasi-maximum likelihood estimate, GLS 222 Quasi-maximum likelihood estimate, GMM and 430—431 Quasi-maximum likelihood estimate, Kalman filter and 389 Quasi-maximum likelihood estimate, standard errors 145 RADIANS 704 Ramage, J.G. 216 Random variable 739 Random walk 436. See also Unit root process OLS estimation 486—504 Rao, C R. 52 183 184 204 Rappoport, Peter 449 Rational expectations 422 Rational expectations, efficient markets hypothesis 306 Raymond, Jennie 664 Real interest rate 376 Real number 708 Recessions 167—168 307—308 450 697—698 Recursive substitution 1—2 Reduced form 245—246 250—252 Reduced form, VAR 327 329 Reducible Markov chain 680 Regime-switching models, Bayesian estimation 689 Regime-switching models, derivation of equations 692—693 Regime-switching models, description of 690—691 Regime-switching models, EM algorithm 696 Regime-switching models, maximum likelihood 692 695—696 Regime-switching models, singularity 689 Regime-switching models, smoothed inference and forecasts 694—695 Regression See also Generalized least squares (GLS); Generalized method of moments (GMM); Ordinary least squares (OLS) Regression, classical assumptions 202 Regression, time-varying parameters 400 Regularity conditions 427 698 Reichlin, Lucrezia 449 Reinsel, G.C. 601 630 Residual sum of squares (RSS) 200 Rich, Robert W. 664 Ridge regression 355 Rissanen, J. 133 Robins, Russell P. 667 672 Rogers, John H. 677 Rothenberg, Thomas J. 247 250 334 362 388 411
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