MARC details
| 000 -Leader |
|---|
| Leader |
13186nam a22009615i 4500 |
| 001 - Numero di controllo |
|---|
| Numero di controllo |
195223 |
| 003 - Identificatore del numero di controllo |
|---|
| Identificatore del numero di controllo |
IT-RoAPU |
| 005 - Data e orario dell'ultima transazione |
|---|
| Data e orario dell'ultima transazione |
20221214232831.0 |
| 006 - Elementi di lunghezza fissa--Caratteristiche del materiale allegato--Informazione generale |
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| Elementi di lunghezza fissa--Caratteristiche del materiale allegato--Informazione generale |
m|||||o||d|||||||| |
| 007 - Campo fisso per la descrizione fisica--informazione generale |
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| Campo fisso per la descrizione fisica--informazione generale |
cr || |||||||| |
| 008 - Elementi di lunghezza fissa--Informazione generale |
|---|
| Elementi di lunghezza fissa--Informazione generale |
210830t20201994nju fo d z eng d |
| 020 ## - International Standard Book Number |
|---|
| ISBN (International Standard Book Number) |
9780691218632 |
| Qualifying information |
PDF |
| 024 7# - Altri identificatori standard |
|---|
| Numero standard o codice |
10.1515/9780691218632 |
| Fonte del numero o codice |
doi |
| 035 ## - Numero di controllo del sistema |
|---|
| Numero di controllo del sistema |
(DE-B1597)9780691218632 |
| 035 ## - Numero di controllo del sistema |
|---|
| Numero di controllo del sistema |
(DE-B1597)567570 |
| 035 ## - Numero di controllo del sistema |
|---|
| Numero di controllo del sistema |
(OCoLC)1229161176 |
| 040 ## - Fonte della catalogazione |
|---|
| Agenzia catalografica originale |
DE-B1597 |
| Lingua della catalogazione |
eng |
| Agenzia che fa la trascrizione |
DE-B1597 |
| Regole di descrizione |
rda |
| 050 #4 - Numero di chiamata (collocazione) della Library of Congress |
|---|
| Numero di classificazione |
QA280 |
| Numero d'item |
.H264 1994 |
| 072 #7 - Codice di categoria di soggetto |
|---|
| Codice di categoria di soggetto |
BUS036000 |
| Fonte |
bisacsh |
| 082 04 - Numero di classificazione Decimale Dewey |
|---|
| Numero di classificazione |
519.5/5 |
| Numero dell'edizione |
20 |
| 084 ## - Numero d’altra classificazione |
|---|
| Numero di classificazione |
online - DeGruyter |
| 100 1# - Accesso principale -- nome di persona |
|---|
| Nome di persona |
Hamilton, James Douglas |
| Termine di ruolo |
autore |
| 245 10 - Formulazione del titolo |
|---|
| Titolo |
Time Series Analysis / |
| Formulazioni di responsabilità, ecc. |
James Douglas Hamilton. |
| 264 #1 - Produzione, pubblicazione, etc di un'opera |
|---|
| Luogo di produzione, pubblicazione, ecc. |
Princeton, NJ : |
| Nome del produttore, editore, ecc. |
Princeton University Press, |
| Data di produzione, specificazione, ecc. |
[2020] |
| 264 #4 - Produzione, pubblicazione, etc di un'opera |
|---|
| Data di produzione, specificazione, ecc. |
©1994 |
| 300 ## - Descrizione fisica |
|---|
| Estensione |
1 online resource (816 p.) |
| 336 ## - Tipo contenuto |
|---|
| Tipo contenuto |
|
| Tipo contenuto (codice) |
txt |
| Fonte |
rdacontent |
| 337 ## - Tipo formato |
|---|
| Tipo formato |
|
| Tipo formato (codice) |
c |
| Fonte |
rdamedia |
| 338 ## - Formato di trasporto |
|---|
| Formato di trasporto |
|
| Formato di trasporto (codice) |
cr |
| Fonte |
rdacarrier |
| 347 ## - Caratteristiche file digitale |
|---|
| Tipo file |
text file |
| Formato di codifica |
PDF |
| Fonte |
rda |
| 505 00 - Nota formattata di contenuto |
|---|
| Titolo |
Frontmatter -- |
| -- |
Contents -- |
| -- |
Preface -- |
| -- |
1 Difference Equations -- |
| -- |
1.1. First-Order Difference Equations -- |
| -- |
1.2. pth-Order Difference Equations -- |
| -- |
APPENDIX I.A. Proofs of Chapter 1 Propositions -- |
| -- |
Chapter 1 References -- |
| -- |
2 Lag Operators -- |
| -- |
2.1. Introduction -- |
| -- |
2.2. First-Order Difference Equations -- |
| -- |
2.3. Second-Order Difference Equations -- |
| -- |
2.4. pth-Order Difference Equations -- |
| -- |
2.5. Initial Conditions and Unbounded Sequences -- |
| -- |
Chapter 2 References -- |
| -- |
3 Stationary ARMA Processes -- |
| -- |
3.1. Expectations, Stationarity, and Ergodicity -- |
| -- |
3.2. White Noise -- |
| -- |
3.3. Moving Average Processes -- |
| -- |
3.4. Autoregressive Processes -- |
| -- |
3.5. Mixed Autoregressive Moving Average Processes -- |
| -- |
3.6. The Autocovariance-Generating Function -- |
| -- |
3.7. Invertibility -- |
| -- |
APPENDIX 3.A. Convergence Results for Infinite-Order Moving Average Processes -- |
| -- |
Chapter 3 Exercises -- |
| -- |
Chapter 3 References -- |
| -- |
4 Forecasting -- |
| -- |
4.1. Principles of Forecasting -- |
| -- |
4.2. Forecasts Based on an Infinite Number of Observations -- |
| -- |
4.3. Forecasts Based on a Finite Number of Observations -- |
| -- |
4.4. The Triangular Factorization of a Positive Definite Symmetric Matrix -- |
| -- |
4.5. Updating a Linear Projection -- |
| -- |
4.6. Optimal Forecasts for Gaussian Processes -- |
| -- |
4.7. Sums of ARM A Processes -- |
| -- |
4.8. Wold's Decomposition and the Box-Jenkins Modeling Philosophy -- |
| -- |
APPENDIX 4.A. Parallel Between OLS Regression and Linear Projection -- |
| -- |
APPENDIX 4.B. Triangular Factorization of the Covariance Matrix for an MA(1) Process -- |
| -- |
Chapter 4 Exercises -- |
| -- |
Chapter 4 References -- |
| -- |
5 Maximum Likelihood Estimation -- |
| -- |
5.1. Introduction -- |
| -- |
5.2. The Likelihood Function for a Gaussian AR(7J Process -- |
| -- |
5.3. The Likelihood Function for a Gaussian AR(p) Process -- |
| -- |
5.4. The Likelihood Function for a Gaussian MA(1) Process -- |
| -- |
5.5. The Likelihood Function for a Gaussian MA(q) Process -- |
| -- |
5.6. The Likelihood Function for a Gaussian ARMA(p, q) Process -- |
| -- |
5.7. Numerical Optimization -- |
| -- |
5.8. Statistical Inference with Maximum Likelihood Estimation -- |
| -- |
5.9. Inequality Constraints -- |
| -- |
APPENDIX 5. A. Proofs of Chapter 5 Propositions -- |
| -- |
Chapter 5 Exercises -- |
| -- |
Chapter 5 References -- |
| -- |
6 Spectral Analysis -- |
| -- |
6.1. The Population Spectrum -- |
| -- |
6.2. The Sample Periodogram -- |
| -- |
6.3. Estimating the Population Spectrum -- |
| -- |
6.4. Uses of Spectral Analysis -- |
| -- |
APPENDIX 6. A. Proofs of Chapter 6 Propositions -- |
| -- |
Chapter 6 Exercises -- |
| -- |
Chapter 6 References -- |
| -- |
7 Asymptotic Distribution Theory -- |
| -- |
7.1. Review of Asymptotic Distribution Theory -- |
| -- |
7.2. Limit Theorems for Serially Dependent Observations -- |
| -- |
APPENDIX 7.A. Proofs of Chapter 7 Propositions -- |
| -- |
Chapter 7 Exercises -- |
| -- |
Chapter 7 Exercises -- |
| -- |
8 Linear Regression Models -- |
| -- |
8.1. Review of Ordinary Least Squares with Deterministic Regressors and i.i.d. Gaussian Disturbances -- |
| -- |
8.2. Ordinary Least Squares Under More General Conditions -- |
| -- |
8.3. Generalized Least Squares -- |
| -- |
APPENDIX 8. A. Proofs of Chapter 8 Propositions -- |
| -- |
Chapter 8 Exercises -- |
| -- |
Chapter 8 References -- |
| -- |
9 Linear Systems of Simultaneous Equations -- |
| -- |
9.1. Simultaneous Equations Bias -- |
| -- |
9.2. Instrumental Variables and Two-Stage Least Squares -- |
| -- |
9.3. Identification -- |
| -- |
9.4. Full-Information Maximum Likelihood Estimation -- |
| -- |
9.5 Estimation Based on the Reduced Form -- |
| -- |
9.6. Overview of Simultaneous Equations Bias -- |
| -- |
APPENDIX 9.A. Proofs of Chapter 9 Proposition -- |
| -- |
Chapter 9 Exercise -- |
| -- |
Chapter 9 References -- |
| -- |
10 Covariance-Stationary Vector Processes -- |
| -- |
10.1. Introduction to Vector Autoregressions -- |
| -- |
10.2. Autocovariances and Convergence Results for Vector Processes -- |
| -- |
10.3. The Autocovariance-Generating Function for Vector Processes -- |
| -- |
10.4. The Spectrum for Vector Processes -- |
| -- |
10.5. The Sample Mean of a Vector Process -- |
| -- |
APPENDIX 10.A. Proofs of Chapter 10 Propositions -- |
| -- |
Chapter 10 Exercises -- |
| -- |
Chapter 10 References -- |
| -- |
11 Vector Autoregressions -- |
| -- |
11.1. Maximum Likelihood Estimation and Hypothesis Testing for an Unrestricted Vector Autoregression -- |
| -- |
11.2. Bivariate Granger Causality Tests -- |
| -- |
11.3. Maximum Likelihood Estimation of Restricted Vector Autoregressions -- |
| -- |
11.4. The Impulse-Response Function -- |
| -- |
11.5. Variance Decomposition -- |
| -- |
11.6. Vector Autoregressions and Structural Econometric Models -- |
| -- |
11.7. Standard Errors for Impulse-Response Functions -- |
| -- |
APPENDIX 11. A. Proofs of Chapter 11 Propositions -- |
| -- |
APPENDIX 11.B. Calculation of Analytic Derivatives -- |
| -- |
Chapter 11 Exercises -- |
| -- |
Chapter 11 References -- |
| -- |
12 Bayesian Analysis -- |
| -- |
12.1. Introduction to Bayesian Analysis -- |
| -- |
12.2. Bayesian Analysis of Vector Autoregressions -- |
| -- |
12.3. Numerical Bayesian Methods -- |
| -- |
APPENDIX 12.A. Proofs of Chapter 12 Propositions -- |
| -- |
Chapter 12 Exercise -- |
| -- |
Chapter 12 References -- |
| -- |
13 The Kalman Filter -- |
| -- |
13.1. The State-Space Representation of a Dynamic System -- |
| -- |
13.2. Derivation of the Kalman Filter -- |
| -- |
13.3. Forecasts Based on the State-Space Representation -- |
| -- |
13.4. Maximum Likelihood Estimation -- |
| -- |
13.5. The Steady-State Kalman Filter -- |
| -- |
13.6. Smoothing -- |
| -- |
13.7. Statistical Inference with the Kalman Filter -- |
| -- |
13.8. Time-Varying Parameters -- |
| -- |
APPENDIX 13. A. Proofs of Chapter 13 Propositions -- |
| -- |
Chapter 13 Exercises -- |
| -- |
Chapter 13 References -- |
| -- |
14 Generalized Method of Moments -- |
| -- |
14.1. Estimation by the Generalized Method of Moments -- |
| -- |
14.2. Examples -- |
| -- |
14.3. Extensions -- |
| -- |
14.4. GMM and Maximum Likelihood Estimation -- |
| -- |
APPENDIX 14. A. Proof of Chapter 14 Proposition -- |
| -- |
Chapter 14 Exercise -- |
| -- |
Chapter 14 References -- |
| -- |
15 Models of Nonstationary Time Series -- |
| -- |
15.1. Introduction -- |
| -- |
15.2. Why Linear Time Trends and Unit Roots? -- |
| -- |
15.3. Comparison of Trend-Stationary and Unit Root Processes -- |
| -- |
15.4. The Meaning of Tests for Unit Roots -- |
| -- |
15.5. Other Approaches to Trended Time Series -- |
| -- |
APPENDIX 15. A. Derivation of Selected Equations for Chapter 15 -- |
| -- |
Chapter 15 References -- |
| -- |
16 Processes with Deterministic Time Trends -- |
| -- |
16.1. Asymptotic Distribution of OLS Estimates of the Simple Time Trend Model -- |
| -- |
16.2. Hypothesis Testing for the Simple Time Trend Model -- |
| -- |
16.3. Asymptotic Inference for an Autoregressive Process Around a Deterministic Time Trend -- |
| -- |
APPENDIX 16. A. Derivation of Selected Equations for Chapter 16 -- |
| -- |
Chapter 16 Exercises -- |
| -- |
Chapter 16 References -- |
| -- |
17 Univariate Processes with Unit Roots -- |
| -- |
17.1. Introduction -- |
| -- |
17.2. Brownian Motion -- |
| -- |
17.3. The Functional Central Limit Theorem -- |
| -- |
17.4. Asymptotic Properties of a First-Order Autoregression when the True Coefficient Is Unity -- |
| -- |
17.5. Asymptotic Results for Unit Root Processes with General Serial Correlation -- |
| -- |
17.6. Phillips-Perron Tests for Unit Roots -- |
| -- |
17.7. Asymptotic Properties of a pth-Order Autoregression and the Augmented Dickey-Fuller Tests for Unit Roots -- |
| -- |
17.8. Other Approaches to Testing for Unit Roots -- |
| -- |
17.9. Bayesian Analysis and Unit Roots -- |
| -- |
APPENDIX 17.A. Proofs of Chapter 17 Propositions -- |
| -- |
Chapter 17 Exercises -- |
| -- |
Chapter 17 References -- |
| -- |
18 Unit Roots in Multivariate Time Series -- |
| -- |
18.1. Asymptotic Results for Nonstationary Vector Processes -- |
| -- |
18.2. Vector Autoregressions Containing Unit Roots -- |
| -- |
18.3. Spurious Regressions -- |
| -- |
APPENDIX 18.A. Proofs of Chapter 18 Propositions -- |
| -- |
Chapter 18 Exercises -- |
| -- |
Chapter 18 References -- |
| -- |
19 Cointegration -- |
| -- |
19.1. Introduction -- |
| -- |
19.2. Testing the Null Hypothesis -- |
| -- |
19.3. Testing Hypotheses About the Cointegrating Vector -- |
| -- |
APPENDIX 19. A. Proofs of Chapter 19 Propositions -- |
| -- |
Chapter 19 Exercises -- |
| -- |
Chapter 19 References -- |
| -- |
20 Full-Information Maximum Likelihood Analysis of Cointegrated Systems -- |
| -- |
20.1. Canonical Correlation -- |
| -- |
20.2. Maximum Likelihood Estimation -- |
| -- |
20.3. Hypothesis Testing -- |
| -- |
20.4. Overview of Unit Roots-To Difference or Not to Difference? -- |
| -- |
APPENDIX 20.A. Proof of Chapter 20 Proposition -- |
| -- |
Chapter 20 Exercises -- |
| -- |
Chapter 20 References -- |
| -- |
21 Time Series Models of Heteroskedasticity -- |
| -- |
21.1. Autoregressive Conditional Heteroskedasticity (ARCH) -- |
| -- |
21.2. Extensions -- |
| -- |
APPENDIX 21. A. Derivation of Selected Equations for Chapter 21 -- |
| -- |
Chapter 21 References -- |
| -- |
22 Modeling Time Series with Changes in Regime -- |
| -- |
22.1. Introduction -- |
| -- |
22.2. Markov Chains -- |
| -- |
22.3. Statistical Analysis of i.i.d. Mixture Distributions -- |
| -- |
22.4. |
| 505 00 - Nota formattata di contenuto |
|---|
| Titolo |
Time Series Models of Changes in Regime -- |
| -- |
APPENDIX 22. A. Derivation of Selected Equations for Chapter 22 -- |
| -- |
Chapter 22 Exercise -- |
| -- |
Chapter 22 Reference -- |
| -- |
A Mathematical Review -- |
| -- |
A.1. Trigonometry -- |
| -- |
A.2. Complex Numbers -- |
| -- |
A.3. Calculus -- |
| -- |
A.4. Matrix Algebra -- |
| -- |
A.5. Probability and Statistics -- |
| -- |
Appendix A References -- |
| -- |
B Statistical Tables -- |
| -- |
C Answers to Selected Exercises -- |
| -- |
D Greek Letters and Mathematical Symbols Used in the Text -- |
| -- |
Author Index -- |
| -- |
Subject Index |
| 506 0# - Nota sulle restrizioni all'accesso |
|---|
| Condizioni che regolano l'accesso |
restricted access |
| URI (Uniform Resource Identifier) |
<a href="http://purl.org/coar/access_right/c_16ec">http://purl.org/coar/access_right/c_16ec</a> |
| Terminologia normalizzata della restrizione all’accesso |
online access with authorization |
| Fonte del termine |
star |
| 520 ## - Riassunto, ecc. |
|---|
| Nota di riassunto, ecc. |
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. |
| 538 ## - Nota sui requisiti del sistema |
|---|
| Nota sui requisiti del sistema |
Mode of access: Internet via World Wide Web. |
| 546 ## - Nota sulla lingua |
|---|
| Nota sulla lingua |
In English. |
| 588 0# - Nota sulla fonte della discrezione |
|---|
| Nota sulla fonte della discrezione |
Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) |
| 650 #0 - Accesso aggiunto di soggetto--termine topico |
|---|
| Termine topico o nome geografico come accesso |
Time-series analysis. |
| 650 #7 - Accesso aggiunto di soggetto--termine topico |
|---|
| Termine topico o nome geografico come accesso |
BUSINESS & ECONOMICS / Investments & Securities / General. |
| Fonte dell'intestazione o del termine |
bisacsh |
| 653 ## - Termine d’indicizzazione--non controllato |
|---|
| Termine non controllato |
Absolute summability. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Autocovariance. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Bartlett kernel. |
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Block exogeneity. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Cointegrating vector. |
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Consumption spending. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Cospectrum. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Dickey-Fuller test. |
| 653 ## - Termine d’indicizzazione--non controllato |
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EM algorithm. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Exchange rates. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Filters. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Fundamental innovation. |
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Gamma distribution. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Global identification. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Gross national product. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Hessian matrix. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Inequality constraints. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Invertibility. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Jacobian matrix. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Joint density. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Khinchine's theorem. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Kronecker product. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Lagrange multiplier. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Loss function. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Mean-value theorem. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Mixingales. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Monte Carlo method. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Newton-Raphson. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Order in probability. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Orthogonal. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Permanent income. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Quadrature spectrum. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Recessions. |
| 653 ## - Termine d’indicizzazione--non controllato |
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Reduced form. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Sample periodogram. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Stock prices. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Taylor series. |
| 653 ## - Termine d’indicizzazione--non controllato |
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| Termine non controllato |
Vech operator. |
| 850 ## - Istituzione possedente |
|---|
| Istituzione possedente |
IT-RoAPU |
| 856 40 - Localizzazione e accesso elettronico |
|---|
| URI (Uniform Resource Identifier) |
<a href="https://doi.org/10.1515/9780691218632?locatt=mode:legacy">https://doi.org/10.1515/9780691218632?locatt=mode:legacy</a> |
| 856 40 - Localizzazione e accesso elettronico |
|---|
| URI (Uniform Resource Identifier) |
<a href="https://www.degruyter.com/isbn/9780691218632">https://www.degruyter.com/isbn/9780691218632</a> |
| 856 42 - Localizzazione e accesso elettronico |
|---|
| Materiale specificato |
Cover |
| URI (Uniform Resource Identifier) |
<a href="https://www.degruyter.com/cover/covers/9780691218632.jpg">https://www.degruyter.com/cover/covers/9780691218632.jpg</a> |
| 942 ## - Dati aggiuntivi (Koha) |
|---|
| Tipo copia default (Koha) |
eBook |
