Time Series Analysis by Hamilton, James Douglas

Time Series Analysis

The last decade has brought dramatic changes in the way that researchers analyze economic and financial time...
BD$309.14 BMD
BD$309.14 BMD
SKU: 9780691042893
Product Type: Books
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Author: James Douglas Hamilton
Format: Hardcover
Language: English
Subtotal: BD$309.14
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Time Series Analysis by Hamilton, James Douglas

Time Series Analysis

BD$309.14

Time Series Analysis

BD$309.14
Author: James Douglas Hamilton
Format: Hardcover
Language: English

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: James Douglas Hamilton
Publisher: Princeton University Press
Published: 01/31/1994
Pages: 816
Binding Type: Hardcover
Weight: 3.75lbs
Size: 10.08h x 6.98w x 2.17d
ISBN: 9780691042893

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

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