Hamilton, James Douglas 　著

内容

目次

Preface Difference Equations 2Lag Operators 3Stationary ARMA Processes4Forecasting 5Maximum Likelihood Estimation 6Spectral Analysis 7AsymptoticDistribution Theory 8Linear Regression Models 9Linear Systems of SimultaneousEquations 10Covariance-Stationary Vector Processes 11Vector Autoregressions12Bayesian Analysis 13The Kalman Filter 14Generalized Method of Moments15Models of Nonstationary Time Series 16Processes with Deterministic TimeTrends 17Univariate Processes with Unit Roots 18Unit Roots in MultivariateTime Series 19Cointegration 20Full-Information Maximum Likelihood Analysis ofCointegrated Systems 21Time Series Models of Heteroskedasticity 22ModelingTime Series with Changes in Regime A Mathematical Review B Statistical TablesC Answers to Selected Exercises D Greek Letters and Mathematical Symbols Usedin the Text Author Index Subject Index