Time Series Analysis

By James D. Hamilton. 1994

A ordered sequence of events or observations having a time component is called as a time series. Some good examples of time series are daily opening and closing stock prices, daily humidity, temperature, pressure, annual gross domestic product (GDP) of a country and so on.

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Citations in the corpus

Spot and Derivative Pricing in the EEX Power Market (2007, unknown): “Regime-switching models have been introduced in various different contexts by Quandt (1958), Goldfeld and Quandt (1973) and Hamilton (1989, 1994).”
Technology Shocks and Aggregate Fluctuations (2004, unknown): “We use standard solution methods for linear models with rational expectations (see, e.g., Uhlig, (1999)) to write the law of motion in state-space form and the Kalman filter, as in Hamilton (1994) to evaluate the likelihood of the five observable variables xt = [rt,πt,ωt − yt, nt,∆yt] 0.”
The Great Depression and the Friedman-Schwartz Hypothesis (2003, unknown): “Ra = (1−m+x) m θ − (1− θ) (1−m+x) m θ μ πμz β − 1 ¶ (51)”
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2009, unknown): “24 Classic references on the Kalman filter are Harvey (1989) and Hamilton (1994).”
Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005, unknown): “…matrix Ht and d degrees of freedom has been assumed for the joint distribution of the two error processes instead of the standard bivariate normal distribution in order to account for possible leptokurtosis in the joint conditional densities (see Bollerslev, 1987 and Hamilton, 1994).”
An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention (2005, unknown): “Unfortunately, the system fails the rank condition (Hamilton, 1994).”
A Simple Panel Unit‐Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure (2016, unknown): “results in Hamilton (1994, P.486) and Pesaran et al. (2013), the terms in the numerator of the limiting distribution of the t-statistic in (93) are distributed, when T →∞, as: T−1/2 ∑T t=1 εiyt/σi T −→ Wi(1), Fεiy σi √ T T −→ ΛfWf ,i(1),”
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, unknown): “Following Hamilton (1994), we can write the VAR representation of this composite Markov chain as eη iσ 1,1,t eη iσ 1,2,t eη iσ 2,1,t eη iσ 2,2,t = Hηiσ eη iσ 1,1,t−1 eη iσ 1,2,t−1 eη iσ 2,1,t−1 eη iσ 2,2,t−1 + νη iσ 1,t νη iσ 2,t νη iσ 3,t νη iσ 4,t (31) where eη iσ m,n,t = 1ηit=m,vt=n is an…”
Mutual Fund Performance: Skill or Luck? (2005, unknown): “(Recursive OLS is a special case of the Kalman filter where 0νσ = - see Hamilton 1994).”