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.
Time Series Analysis
#ad
Author: Hamilton, James D.
Binding: Hardcover
ISBN: 787721851554
Details:
Author: Hamilton, James D.
Brand: Princeton University Press
Edition: 1
Features:
- Used Book in Good Condition
Binding: Hardcover
Number Of Pages: 820
Release Date: 31-01-1994
Part Number: 9780691042893
Package Dimensions: 10.1 x 7.2 x 2.2 inches Languages: English
EAN: 8601300372280
