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- DescriptionThe last decade has brought dramatic changes in the way that researchers analyze ecomic 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 invations such as vector autoregressions, generalized method of moments, the ecomic and statistical consequences of unit roots, time-varying variances, and nlinear 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 ecomic theory with the practical difficulties of analyzing and interpreting real-world data. Time Series Analysis fills an important need for a textbook that integrates ecomic theory, ecometrics, 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(s)James D. Hamilton
- PublisherPrinceton University Press
- Date of Publication11/01/1994
- SubjectEconomics: Professional & General
- Place of PublicationNew Jersey
- Country of PublicationUnited States
- ImprintPrinceton University Press
- Content NoteIll.
- Weight1742 g
- Width152 mm
- Height229 mm
- Spine55 mm
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