Time Series Analysis

Princeton, NJ: Princeton University Press, 1994. Hardcover. Good Condition. 25.3 x 17.3 x 5.5 cm. Dust jacket is fully intact, only lightly rubbed at edges. Top edge slightly dusty. Text free from notes or highlighting. A presentable used copy without significant defects. Publisher's note: 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. Size: 25.3 x 17.3 x 5.5 cm. xiv, 799 pp. Shipped Weight: 1-2 kilos. Category: Economics; Time-series analysis; ISBN: 0691042896. ISBN/EAN: 9780691042893. Add. Inventory No: 240202RMR015054. . 9780691042893