Hamilton Time Series Analysis Pdf !!TOP!!
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EconPapers FAQ Archive maintainers FAQ Cookies at EconPapers Format for printing The RePEc blog The RePEc plagiarism page A New Approach to the Economic Analysis of Nonstationary Time Series and the Business CycleJames Hamilton (Obfuscate( 'ucsd.edu', 'jhamilton' ))Econometrica, 1989, vol. 57, issue 2, 357-84Abstract:This paper models occasional, discrete shifts in the growth rate of a nonstationary series. Algorithms for inferring these unobserved shifts are presented, a byproduct of which permits estimation of parameters by maximum likelihood. An empirical application of this technique suggests that the periodic shift from a positive growth rate to a negative growth rate is a recurrent feature of the U.S. business cycle, and indeed could be used as an objective criterion for defining and measuring economic recessions. The estimated parameter values suggest that a typical economic recession is associated with a 3 percent permanent drop in the level of GNP. Copyright 1989 by The Econometric Society.Date: 1989References: Add references at CitEc Citations: View citations in EconPapers (4485) Track citations by RSS feedDownloads: (external link) =0012-9682%2819890...
Time series plots for about 1 hour showing heart rate (HR), respiratory rate (RR) and pulse oximetry (SpO2). The shaded portion represents incident cardiorespiratory instability (CRI) which this patient developed due to crossing of HR threshold limits, with changes in RR and SpO2 occurring prior to CRI. Vector autoregressive (VAR) models are able to look at these evolving patterns over time for this specific patient to assess VS changes prior to incident CRI.
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