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State-space models

Hamilton, James D. - 1994

Persistent link: https://www.econbiz.de/10001327596

Analysis of time series subject to changes in regime

Hamilton, James D. - In: Journal of econometrics 45 (1990) 1, pp. 39-70

Persistent link: https://www.econbiz.de/10001332080

A quasi-bayesian approach to estimating parameters for mixtures of normal distributions

Hamilton, James D. - In: Journal of business & economic statistics : JBES ; a … 9 (1991) 1, pp. 27-39

Persistent link: https://www.econbiz.de/10001100526

A standard error for the estimated state vector of a state-space model

Hamilton, James D. - In: Journal of econometrics 33 (1986) 3, pp. 387-397

Persistent link: https://www.econbiz.de/10003569726

State-space models

Hamilton, James D. - 1993

Persistent link: https://www.econbiz.de/10000877933

Autoregressive conditional heteroskedasticity and changes in regime

Hamilton, James D.; Susmel, Raul - 1993

Persistent link: https://www.econbiz.de/10000877974

A new approach to the economic analysis of nonstationary time series and the business cycle

Hamilton, James D. - In: Econometrica : journal of the Econometric Society, an … 57 (1989) 2, pp. 357-384

Persistent link: https://www.econbiz.de/10001064307

A parametric approach to flexible nonlinear inference

Hamilton, James D. - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 3, pp. 537-573

Persistent link: https://www.econbiz.de/10001580786

Autoregressive conditional heteroskedasticity and changes in regime

Hamilton, James D. - In: Journal of econometrics 64 (1994) 1, pp. 307-333

Persistent link: https://www.econbiz.de/10001166423

Identification and Estimation of Gaussian Affine Term Structure Models

Hamilton, James D.; Wu, Jing Cynthia - 2013

This paper develops new results for identification and estimation of Gaussian affine term structure models. We establish that three popular canonical representations are unidentified, and demonstrate how unidentified regions can complicate numerical optimization. A separate contribution of the...

Persistent link: https://www.econbiz.de/10014178899