Time Series Analysis by James Douglas HamiltonTime Series Analysis by James Douglas Hamilton

Time Series Analysis

byJames Douglas Hamilton

Hardcover | January 31, 1994

Pricing and Purchase Info

$157.78 online 
$169.00 list price save 6%
Earn 789 plum® points

Prices and offers may vary in store

Quantity:

In stock online

Ships free on orders over $25

Not available in stores

about

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 Analysisfills 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.

James D. Hamiltonis Professor of Economics at the University of California, San Diego.
Loading
Title:Time Series AnalysisFormat:HardcoverDimensions:816 pagesPublished:January 31, 1994Publisher:Princeton University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0691042896

ISBN - 13:9780691042893

Look for similar items by category:

Reviews

Table of Contents

Preface

1 Difference Equations 1

2 Lag Operators 25

3 Stationary ARMA Processes 43

4 Forecasting 72

5 Maximum Likelihood Estimation 117

6 Spectral Analysis 152

7 Asymptotic Distribution Theory 180

8 Linear Regression Models 200

9 Linear Systems of Simultaneous Equations 233

10 Covariance-Stationary Vector Processes 257

11 Vector Autoregressions 291

12 Bayesian Analysis 351

13 The Kalman Filter 372

14 Generalized Method of Moments 409

15 Models of Nonstationary Time Series 435

16 Processes with Deterministic Time Trends 454

17 Univariate Processes with Unit Roots 475

18 Unit Roots in Multivariate Time Series 544

19 Cointegration 571

20 Full-Information Maximum Likelihood Analysis of Cointegrated Systems 630

21 Time Series Models of Heteroskedasticity 657

22 Modeling Time Series with Changes in Regime 677

A Mathematical Review 704

B Statistical Tables 751

C Answers to Selected Exercises 769

D Greek Letters and Mathematical Symbols Used in the Text 786

Author Index 789

Subject Index 792


From Our Editors

The last decade has brought dramatic changes in the way that researchers analyze time series data. This much-needed book synthesizes all of the major recent advances and develops a single, coherent presentation of the current state of the art of this increasingly important field. James Hamilton provides for the first time a thorough and detailed textbook account of important innovations such as vector autoregressions, estimation by generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, Hamilton presents traditional tools for analyzing dynamic systems, including linear representations, autocovariance, generating functions, spectral analysis, and the Kalman filter, illustrating their usefulness both for economic theory and for studying and interpreting real-world data. This book is intended to provide students, researchers, and forecasters with a definitive, self-contained survey of dynamic systems, econometrics, and time series analysis. Starting from first princ

Editorial Reviews

"I am extremely enthusiastic about this book. I think it will quickly become a classic. Like Sargent's and Varian's texts, it will be a centerpiece of the core cirriculum for graduate students."-John H. Cochrane, University of Chicago