Time Series Analysis

Product information

€91.00

Stock: In Stock Online

Our USPs

Free Delivery
Extended Range: Delivery 3-4 working days
Dubray Rewards
Earn 364 Reward Points on this title

Time Series Analysis

Product information

Author: James D. Hamilton

Type: Hardback

ISBN: 9780691042893

Date: 14th April, 1994

Publisher: PRINCETON UNIVERSITY PRESS

  1. Categories

  2. Finance

Description

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.

Additional details