Time Series Analysis

DETAILS : 

Author : James D. Hamilton
Publisher ‏ : ‎ LEVANT BOOKS
Publication Date : 1 January 2012
Paperback : 799 Pages
Language ‏ : ‎ English
ISBN-10 ‏ : ‎ 9380663439
ISBN-13 ‏ : ‎ 978-9380663432
Item Weight ‏ : ‎1500 G 

ABOUT THE BOOK

"Time Series Analysis" by James D. Hamilton is a comprehensive textbook on time series econometrics, providing in-depth coverage of statistical methods and models for analyzing time series data. The book is a standard reference in the field, offering rigorous treatment of topics such as ARIMA models, spectral analysis, and vector autoregressions. A valuable resource for graduate students and researchers in economics, finance, and statistics.

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. Time Series Analysis fills an important need for a textbook that integrates economic theory, econometrics, and new results.