Time Series Analysis by James D. Hamilton (1994, Hardcover)

Name: Time Series Analysis by James D. Hamilton (1994, Hardcover)
Brand: Princeton University Press

Princeton University Press

Time Series AnalysisAuthor(s): James D. Hamilton\nFormat: Hardback\nPublisher: Princeton University Press, United States\nImprint: Princeton University Press\nISBN-13: 9780691042893, 978-0691042893\nSynopsis\nThe 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. T.