时间序列分析（经济科学译丛；“十一五”国家重点图书出版规划项目）（上下册）

图书标准信息

• 作者 詹姆斯·D·汉密尔顿 著；夏晓华 译
• 出版社 中国人民大学出版社
• 出版时间 2015-01
• 版次 1
• ISBN 9787300202136
• 定价 118.00元
• 装帧 平装
• 开本 16开
• 纸张 胶版纸
• 页数 948页
• 字数 1千字
• 丛书 经济科学译丛

【内容简介】

近几年间，研究者分析时间序列数据的方式发生了显著的变化。因此，很有必要对这一日益重要的研究领域的新近发展进行综合，并整体呈现出来。作者一次对时间序列分析的相关进展做出详细、全面的梳理与阐述。这些研究进展包括向量自回归、广义矩估计、单位根的经济与统计结果、非线性时间序列等。另外，作者在本书中还阐述了包括线性表征、自相关、生成函数、谱分析、卡尔曼滤波等动态系统的传统分析工具。这些内容有助于经济理论研究和解释现实世界的数据.  
    本书将为学生、研究者和预测人员提供对动态系统、计量经济和时间序列分析的独立而明确的全面分析。从最简单的原理出发，作者的清晰表达使得一年级研究生和非专业人士也能理解相关内容的历史进展和新近发展。同时，由于其全面性，使得该书为研究者了解学术前沿提供了宝贵的参考文献。作者一方面通过大量的例子展示理论结果如何运用于实践，另一方面在相关章节后面提供了详细的数学附录。作为为相关领域学生和研究者提供的理论路线图，该书将成为未来若干年相关领域的指导书。

【作者简介】

詹姆斯·D·汉密尔顿（James D. Hamilton）现为加州大学圣地亚哥分校（University of California, San Diego）经济学教授，1983年毕业于加州大学伯克利分校（University of California, Berkeley）,早年曾在弗吉尼亚大学（The University of Virginia）任教。他在时间序列和能源经济学研究上取得了丰硕的研究成果。

【目录】

（上册）
第1章 差分方程                                                                                                                                                                                                             
1．1 一阶差分方程                                                                                                                                                                                              
1．2  p阶差分方程                                                                                                                                                                                            
附录1．A 第1章性质证明                                                                                                                                             
第1章参考文献                                                                                                                                                                                        
第2章 滞后算子                                                                                                                                                                                                             
2．1 简介                                                                                                                                                                                                                      
2．2 一阶差分方程                                                                                                                                                                                      
2．3 二阶差分方程                                                                                                                                                                                      
2．4  p阶差分方程                                                                                                                                                                                             
2．5 初始条件及界序列                                                                                                                                                            
第2章参考文献                                                                                                                                                                                        
第3章 平稳自回归移动平均过程                                                                                                                                                     
3．1 期望、平稳性和遍历性                                                                                                                                                      
3．2 白噪声                                                                                                                                                                                                              
3．3 移动平均过程                                                                                                                                                                                      
3．4 自回归过程                                                                                                                                                                                              
3．5 混合自回归移动平均过程                                                                                                                                              
3．6 自协方差生成函数                                                                                                                                                                      
3．7 可逆性                                                                                                                                                                                                                    
附录3．A 限阶移动平均过程的收敛结论                                                                                     
第3章习题                                                                                                                                                                                                     
第3章参考文献                                                                                                                                                                                       
第4章 预测                                                                                                                                                                                                                             
4．1 预测的原理                                                                                                                                                                                              
4．2 基于限个观测的预测                                                                                                                                                      
4．3 基于有限个观测的预测                                                                                                                                                      
4．4 正定对称矩阵的三角分解                                                                                                                                              
4．5 线性投影更新                                                                                                                                                                                      
4．6 高斯过程的最优预测                                                                                                                                                              
4．7 自回归移动平均过程的和                                                                                                                                              
4．8 沃尔德分解与博克斯詹金斯建模哲学                                                                                            
附录 4．A 普通最小二乘回归与线性投影                                                                                     
附录 4．B 一阶移动平均过程协方差矩阵的三角分解                                             
第4章习题                                                                                                                                                                                             
第4章参考文献                                                                                                                                                                                
第5章 极大似然估计                                                                                                                                                                                     
5．1 简介                                                                                                                                                                                                                      
5．2 高斯一阶自回归过程的似然函数                                                                                                                      
5．3 高斯 p阶自回归过程的似然函数                                                                                                                      
5．4 高斯一阶移动平均过程的似然函数                                                                                                              
5．5 高斯 q阶移动平均过程的似然函数                                                                                                              
5．6 高斯 p阶自回归q阶移动平均过程的似然函数                                                                     
5．7 数值优化                                                                                                                                                                                                      
5．8 极大似然估计的统计推断                                                                                                                                              
5．9 不等式约束                                                                                                                                                                                            
附录5．A 第5章性质证明                                                                                                                                     
第5章习题                                                                                                                                                                                             
第5章参考文献                                                                                                                                                                                
第6章 谱分析                                                                                                                                                                                                             
6．1 总体谱                                                                                                                                                                                                              
6．2 样本谱                                                                                                                                                                                                            
6．3 总体谱估计                                                                                                                                                                                              
6．4 谱分析的应用                                                                                                                                                                                    
附录6．A 第6章性质证明                                                                                                                                     
第6章习题                                                                                                                                                                                             
第6章参考文献                                                                                                                                                                                
第7章 渐近分布理论                                                                                                                                                                                     
7．1 渐近分布理论回顾                                                                                                                                                                      
7．2 序列相关观测的极限定理                                                                                                                                            
附录7．A 第7章性质证明                                                                                                                                     
第7章习题                                                                                                                                                                                             
第7章参考文献                                                                                                                                                                               
第8章 线性回归模型                                                                                                                                                                                     
8．1 确定性回归元与独立同分布高斯扰动下的普通最小二乘法回顾                                                                                                                                                                                                                                      
8．2 一般条件下的普通最小二乘法                                                                                                                              
8．3 广义最小二乘法                                                                                                                                                                            
附录8．A 第8章性质证明                                                                                                                                     
第8章习题                                                                                                                                                                                             
第8章参考文献                                                                                                                                                                                
第9章 线性联立方程系统                                                                                                                                                                     
9．1 联立方程偏差                                                                                                                                                                                      
9．2 工具变量与两阶段最小二乘法                                                                                                                              
9．3 识别                                                                                                                                                                                                                      
9．4 完全信息极大似然估计                                                                                                                                                      
9．5 基于简化型的估计                                                                                                                                                                      
9．6 联立方程偏差综述                                                                                                                                                                    
附录9．A 第9章性质证明                                                                                                                                     
第9章习题                                                                                                                                                                                             
第9章参考文献                                                                                                                                                                                
第10章 协方差平稳的向量过程                                                                                                                                                  
10．1 向量自回归简介                                                                                                                                                                    
10．2 向量过程的自协方差与收敛性结论                                                                                                      
10．3 向量过程的自协方差生成函数                                                                                                                      
10．4 向量过程的谱                                                                                                                                                                              
10．5 向量过程的样本均值                                                                                                                                                    
附录10．A 第10章性质证明                                                                                                                             
第10章习题                                                                                                                                                                                             
第10章参考文献                                                                                                                                                                                
第11章 向量自回归                                                                                                                                                                                             
11．1 约束向量自回归的极大似然估计与假设检验                                                              
11．2 二元格兰杰因果检验                                                                                                                                                      
11．3 有约束向量自回归的极大似然估计                                                                                                      
11．4 脉冲响应函数                                                                                                                                                                              
11．5 方差分解                                                                                                                                                                                              
11．6 向量自回归与结构计量模型                                                                                                                              
11．7 脉冲响应函数的标准误                                                                                                                                            
附录11．A 第11章性质证明                                                                                                                             
附录11．B 解析导数的计算                                                                                                                                     
第11章习题                                                                                                                                                                                             
第11章参考文献                                                                                                                                                                                
第12章 贝叶斯分析                                                                                                                                                                                             
12．1 贝叶斯分析简介                                                                                                                                                                     
12．2 向量自回归的贝叶斯分析                                                                                                                                      
12．3 数值贝叶斯方法                                                                                                                                                                    
附录12．A 第12章性质证明                                                                                                                            
第12章习题                                                                                                                                                                                             
第12章参考文献                                                                                                                                                                                
第13章 卡尔曼滤波                                                                                                                                                                                             
13．1 动态系统的状态空间表达                                                                                                                                      
13．2 卡尔曼滤波的推导                                                                                                                                                             
13．3 基于状态空间表达的预测                                                                                                                                      
13．4 参数的极大似然估计                                                                                                                                                      
13．5 稳态卡尔曼滤波                                                                                                                                                              
13．6 平滑                                                                                                                                                                                                              
13．7 卡尔曼滤波的统计推断                                                                                                                                              
13．8 时变参数                                                                                                                                                                                            
附录13．A 第13章性质证明                                                                                                                             
第13章习题                                                                                                                                                                                             
第13章参考文献                                                                                                                                                                                
第14章 广义矩方法                                                                                                                                                                                             
14．1 广义矩估计                                                                                                                                                                                     
14．2 例子                                                                                                                                                                                                              
14．3 拓展                                                                                                                                                                                                              
14．4 广义矩与极大似然估计                                                                                                                                            
附录14．A 第14章性质证明                                                                                                                            
第14章习题                                                                                                                                                                                     
第14章参考文献     

（下册）
第15章 非平稳时间序列模型                                                                                                                                                             
15．1 简介                                                                                                                                                                                                              
15．2 为什么考虑线性时间趋势和单位根?                                                                                              
15．3 趋势平稳和单位根过程的比较                                                                                                                      
15．4 单位根检验的含义                                                                                                                                                              
15．5 趋势时间序列的其他方法                                                                                                                                    
附录15．A 第15章部分公式的推导                                                                                                     
第15章参考文献                                                                                                                                                                               
第16章 确定性时间趋势过程                                                                                                                                                     
16．1 简单时间趋势模型普通最小二乘估计的渐近分布                                                      
16．2 简单时间趋势模型的假设检验                                                                                                                     
16．3 含确定性时间趋势的自回归过程的渐近推断                                                                    
附录16．A 第16章部分公式的推导                                                                                                     
第16章习题                                                                                                                                                                                             
第16章参考文献                                                                                                                                                                               
第17章 带有单位根的单变量过程                                                                                                                                             
17．1 简介                                                                                                                                                                                                              
17．2 布朗运动                                                                                                                                                                                      
17．3 泛函中心极限定理                                                                                                                                                            
17．4 真实系数为1时一阶自回归的渐近性质                                                                                      
17．5 存在一般序列相关的单位根过程的渐近结论                                                                    
17．6 单位根的菲利普斯佩龙检验                                                                                                                              
17．7  p阶自回归的渐近性质和增广的迪基富勒单位根检验                                      
17．8 单位根检验的其他方法                                                                                                                                              
17．9 贝叶斯分析和单位根                                                                                                                                                    
附录17．A 第16章性质证明                                                                                                                             
第17章习题                                                                                                                                                                                             
第17章参考文献                                                                                                                                                                                
第18章 多变量时间序列的单位根                                                                                                                                             
18．1 非平稳向量过程的渐近结果                                                                                                                            
18．2 包含单位根的向量自回归过程                                                                                                                     
18．3 伪回归                                                                                                                                                                                                    
附录18．A 第18章性质证明                                                                                                                             
第18章习题                                                                                                                                                                                            
第18章参考文献                                                                                                                                                                               
第19章 协整                                                                                                                                                                                                                    
19．1 简介                                                                                                                                                                                                             
19．2 零假设为没有协整关系的检验                                                                                                                      
19．3 协整向量的假设检验                                                                                                                                                    
附录19．A 第19章性质证明                                                                                                                             
第19章习题                                                                                                                                                                                             
第19章参考文献                                                                                                                                                                               
第20章 协整系统的完全信息极大似然分析                                                                                                             
20．1 典则相关                                                                                                                                                                                              
20．2 极大似然估计                                                                                                                                                                              
20．3 假设检验                                                                                                                                                                                              
20．4 单位根检验综述———差分还是不差分?                                                                                    
附录20．A 第20章性质证明                                                                                                                             
第20章习题                                                                                                                                                                                             
第20章参考文献                                                                                                                                                                            
第21章 带有异方差的时间序列模型                                                                                                                                     
21．1 自回归条件异方差（ARCH）                                                                                                                              
21．2 扩展                                                                                                                                                                                                            
附录21．A 第21章部分公式的推导                                                                                            
第21章参考文献                                                                                                                                                                               
第22章 机制变化的时间序列建模                                                                                                                                             
22．1 简介                                                                                                                                                                                                              
22．2 马尔可夫链                                                                                                                                                                                      
22．3 独立同分布的混合分布的统计分析                                                                                            
22．4 机制变化的时间序列模型                                                                                                                                    
附录22．A 第22章部分公式的推导                                                                                                    
第22章习题                                                                                                                                                                                            
第22章参考文献                                                                                                                                                                               
附录A 数学回顾                                                                                                                                                                                                    
A．1 三角学                                                                                                                                                                                                              
A．2 复数                                                                                                                                                                                                                      
A．3 微积分                                                                                                                                                                                                              
A．4 矩阵代数                                                                                                                                                                                                      
A．5 概率和统计                                                                                                                                                                                            
附录A 参考文献                                                                                                                                                                               
附录B 统计表                                                                                                                                                                                                                        
附录C 部分习题答案                                                                                                                                                                                                
附录D 本书所用的希腊字母与数学符号                                                                                                                        
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