A NEW APPROACH TO THE ECONOMIC-ANALYSIS OF NONSTATIONARY TIME-SERIES AND THE BUSINESS-CYCLE

被引：4570

作者：

HAMILTON, JD

机构：

来源：

ECONOMETRICA | 1989年 / 57卷 / 02期

关键词：

D O I：

10.2307/1912559

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：357 / 384

页数：28

共 45 条

[11] THE CYCLICAL COMPONENT OF UNITED-STATES ECONOMIC-ACTIVITY [J].

CLARK, PK .

QUARTERLY JOURNAL OF ECONOMICS, 1987, 102 (04) :797-814

[12] HOW BIG IS THE RANDOM-WALK IN GNP [J].

COCHRANE, JH .

JOURNAL OF POLITICAL ECONOMY, 1988, 96 (05) :893-920

[13]

COCHRANE JH, 1987, SPECTRAL DENSITY EST

[14] SERIAL-CORRELATION IN LATENT DISCRETE VARIABLE MODELS [J].

COSSLETT, SR ;

LEE, LF .

JOURNAL OF ECONOMETRICS, 1985, 27 (01) :79-97

[15] HYPOTHESIS TESTING WHEN A NUISANCE PARAMETER IS PRESENT ONLY UNDER ALTERNATIVE [J].

DAVIES, RB .

BIOMETRIKA, 1977, 64 (02) :247-254

[16]

DEATON AS, 1987, 4TH WORLD C, V2, P121

[17]

DIEBOLD FX, 1987, 206 FED RES BOARD SP

[18] ESTIMATING TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE - THE ARCH-M MODEL [J].

ENGLE, RF ;

LILIEN, DM ;

ROBINS, RP .

ECONOMETRICA, 1987, 55 (02) :391-407

[19] AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION [J].

ENGLE, RF .

ECONOMETRICA, 1982, 50 (04) :987-1007

[20] COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].

ENGLE, RF ;

GRANGER, CWJ .

ECONOMETRICA, 1987, 55 (02) :251-276

← 1 2 3 4 5 →