Time Series Analysis

• Author: James Douglas Hamilton
• ISBN 10: 0691042896
• ISBN 13: 9780691042893
• Edition: 1
• Release: January 11, 1994
• Format: Hardcover (820 pages)
• List Price: $105.00
• More Details
  
  

  List Price: $105.00

  Tags: Business & Investing, Investing,

  Book Description:
  The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems (including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing and interpreting real-world data. Time Series Analysis fills an important need for a textbook that integrates economic theory, econometrics, and new results.The book is intended to provide students and researchers with a self-contained survey of time series analysis. It starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.

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