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Auteur James Douglas HAMILTON |
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Titre : Time Series Analysis Type de document : e-book Auteurs : James Douglas HAMILTON Editeur : Princeton University Press Année de publication : 2020 ISBN/ISSN/EAN : 9780691042893 Note générale : copyrighted Langues : Anglais (eng) Résumé : 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. Nombre d'accès : Illimité En ligne : http://library.ez.neoma-bs.fr/login?url=https://www.scholarvox.com/book/88935449 Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=557003
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