Time series analysis /

• Main Author: Hamilton, James Douglas
• Format: Book
• Published: Princeton, N.J. : Princeton University Press, 1994
• Subjects: ANALISIS DE SERIES TEMPORALES; ECUACIONES DIFERENCIALES; MODELO ARIMA; TEORIA ESPECTRAL; MODELO DE REGRESION; ECUACIONES SIMULTANEAS; VECTORES AUTORREGRESIVOS; FILTRO DE KALMAN; EJERCICIOS; MODELO ARMAX; ANALISIS ESPECTRAL
• Online Access: http://www.ru.ac.bd/stat/wp-content/uploads/sites/25/2019/03/101_06_Feller_An-Introduction-to-Probability-Theory-and-Its-Applications-Vol.-2.pdf

Table of Contents:

• 1. Difference equations
• 2. Lang operators
• 3. Stationary ARMA processes
• 4. Forecasting
• 5. Maximum likelihood estimation
• 6. Spectral analysis
• 7. Asymptotic distribution theory
• 8. Linear regression models
• 9. Linear systems of simultaneous equations
• 10. Covariance-stationary vector processes
• 11. Vector autoregressions
• 12. Bayesian analysis
• 13. The Kalman filter
• 14. Generalized method of moments
• 15. Models of nonstationary time series
• 16. Processes with deterministic time trends
• 17. Univariate processes with unit roots
• 18. Unit roots in multivariate time series
• 19. Cointegration
• 20. Full-information maximum likelihood analysis of cointegrated systems
• 21. Time series models of heteroscedasticity
• 22. Modeling time series with changes in regime
• A. Mathematical review
• B. Statistical tables
• C. Answers to selected exercises
• D. Greek letters and mathematical symbols used in the text.