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Time Series Analysis
James D. Hamilton

Book Description | Reviews

TABLE OF CONTENTS:

Preface
1Difference Equations1
2Lag Operators25
3Stationary ARMA Processes43
4Forecasting72
5Maximum Likelihood Estimation117
6Spectral Analysis152
7Asymptotic Distribution Theory180
8Linear Regression Models200
9Linear Systems of Simultaneous Equations233
10Covariance-Stationary Vector Processes257
11Vector Autoregressions291
12Bayesian Analysis351
13The Kalman Filter372
14Generalized Method of Moments409
15Models of Nonstationary Time Series435
16Processes with Deterministic Time Trends454
17Univariate Processes with Unit Roots475
18Unit Roots in Multivariate Time Series544
19Cointegration571
20Full-Information Maximum Likelihood Analysis of Cointegrated Systems630
21Time Series Models of Heteroskedasticity657
22Modeling Time Series with Changes in Regime677
A Mathematical Review704
B Statistical Tables751
C Answers to Selected Exercises769
D Greek Letters and Mathematical Symbols Used in the Text786
Author Index789
Subject Index792

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File created: 4/17/2014

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