Hostname: page-component-84b7d79bbc-fnpn6 Total loading time: 0 Render date: 2024-07-27T20:52:41.317Z Has data issue: false hasContentIssue false
  • English
  • Français

TIME SERIES ANALYSISJames D. Hamilton Princeton University Press, 1994

Published online by Cambridge University Press:  11 February 2009

Bruce E. Hansen
Bruce E. Hansen
Affiliation:
Boston College
Get access Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Book Reviews
Information
Econometric Theory , Volume 11 , Issue 3 , June 1995 , pp. 625 - 630
Copyright
Copyright © Cambridge University Press 1995

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Ahn, S.K. & Reinsel, G.C. (1990) Estimation for partially nonstationary multivariate autoregressive models. Journal of the American Statistical Association 85, 813–823.CrossRefGoogle Scholar
Andrews, D.W.K. (1988) Laws of large numbers for dependent non-identically distributed random variables. Econometric Theory 4, 458–467.CrossRefGoogle Scholar
Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817–858.CrossRefGoogle Scholar
Andrews, D.W.K. & Monahan, J.C. (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60, 953–966.CrossRefGoogle Scholar
Banerjee, A., Dolado, J.J., Galbraith, J.W., & Hendry, D.F. (1992) Co-Integration, Error Correction and the Econometric Analysis of Non-Stationary Data. Oxford: Oxford University Press.Google Scholar
Beveridge, S. & Nelson, C.R. (1981) A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the “business cycle.” Journal of Monetary Economics 7, 151–174.CrossRefGoogle Scholar
Billingsley, P. (1968) Convergence of Probability Measures. New York: Wiley.Google Scholar
Bollerslev, T., Chou, R.Y., & Kroner, K.F. (1992) ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics 52, 5–59.CrossRefGoogle Scholar
Brillinger, D.R. (1981) Time Series: Data Analysis and Theory. San Francisco: Holden-Day.Google Scholar
Brockwell, P.J. & Davis, R.A. (1987) Time Series: Theory and Methods. New York: Springer-Verlag.CrossRefGoogle Scholar
Dickey, D.A. & Fuller, W.A. (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427–431.Google Scholar
Engle, R.F. & Granger, C.W.J. (1987) Co-integration and error correction: Representation, estimation, and testing. Econometrica 55, 251–276.CrossRefGoogle Scholar
Gallant, A.R. & White, H. (1988) A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models. Oxford: Blackwell.Google Scholar
Greene, W.H. (1993) Econometric Analysis, 2nd ed.New York: Macmillan.Google Scholar
Hall, P. & Heyde, C.C. (1980) Martingale Limit Theory and Its Application. New York: Academic Press.Google Scholar
Hannan, E.J. (1970) Multiple Time Series. New York: Wiley.CrossRefGoogle Scholar
Harvey, A.C. (1991) The Econometric Analysis of Time Series, 2nd ed.Cambridge: MIT Press.Google Scholar
Johansen, S. (1988) Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control 12, 231–254.CrossRefGoogle Scholar
Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59, 1551–1580.CrossRefGoogle Scholar
Newey, W.K. & West, K.D. (1987) A simple positive semi-definite, heteroskedasticity and auto-correlation consistent covariance matrix. Econometrica 55, 703–708.CrossRefGoogle Scholar
Phillips, P.C.B. (1986) Understanding spurious regressions in econometrics. Journal of Econometrics 33, 311–340.CrossRefGoogle Scholar
Phillips, P.C.B. & Hansen, B.E. (1990) Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99–125.CrossRefGoogle Scholar
Phillips, P.C.B. & Loretan, M. (1991) Estimating long-run equilibria. Review of Economic Studies 58, 407–436.CrossRefGoogle Scholar
Phillips, P.C.B. & Ouliaris, S. (1990) Asymptotic properties of residual based tests for cointegration. Econometrica 58, 165–193.CrossRefGoogle Scholar
Phillips, P.C.B. & Perron, P. (1988) Testing for a unit root in time series regression. Biometrika 75, 335–346.CrossRefGoogle Scholar
Phillips, P.C.B. & Solo, V. (1992) Asymptotics for linear processes. The Annals of Statistics 20, 971–1001.CrossRefGoogle Scholar
Pollard, D. (1984) Convergence of Stochastic Processes. New York: Springer-Verlag.CrossRefGoogle Scholar
Priestley, M.B. (1981) Spectral Analysis and Time Series. New York: Academic Press.Google Scholar
Saikkonen, P. (1991) Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7, 1–21.CrossRefGoogle Scholar
Sims, C.A., Stock, J.H., & Watson, M.W. (1990) Inference in linear time series models with some unit roots. Econometrica 58, 113–144.CrossRefGoogle Scholar
Stock, J.H. & Watson, M.W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783–820.CrossRefGoogle Scholar
Tong, H. (1990) Non-Linear Time Series: A Dynamical System Approach. Oxford: Clarendon Press.CrossRefGoogle Scholar