Time Series Analysis

Hardback

Main Details

Title Time Series Analysis
Authors and Contributors      By (author) James Douglas Hamilton
Physical Properties
Format:Hardback
Pages:816
Dimensions(mm): Height 229,Width 152
Category/GenreEconometrics
Probability and statistics
ISBN/Barcode 9780691042893
ClassificationsDewey:519.55
Audience
Professional & Vocational
Tertiary Education (US: College)

Publishing Details

Publisher Princeton University Press
Imprint Princeton University Press
Publication Date 31 January 1994
Publication Country United States

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.

Author Biography

James D. Hamilton is Professor of Economics at the University of California, San Diego.

Reviews

"A carefully prepared and well written book... Without doubt, it can be recommended as a very valuable encyclopedia and textbook for a reader who is looking for a mainly theoretical textbook which combines traditional time series analysis with a review of recent research areas."--Journal of Economics