Time Series Analysis

<p><b>An authoritative, self-contained overview of time series analysis for students and researchers</b><br><br>The past decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This textbook synthesizes these advances and makes them accessible to first-year graduate students. James Hamilton provides comprehensive 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. <i>Time Series Analysis</i> fills an important need for a textbook that integrates economic theory, econometrics, and new results.<br><br>This invaluable book 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.</p> <p><b>An authoritative, self-contained overview of time series analysis for students and researchers</b><br><br>The past decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This textbook synthesizes these advances and makes them accessible to first-year graduate students. James Hamilton provides comprehensive 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. <i>Time Series Analysis</i> fills an important need for a textbook that integrates economic theory, econometrics, and new results.<br><br>This invaluable book 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.</p>