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Synopsis
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.
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From the Back Cover
"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
About the Author
James D. Hamilton is Professor of Economics at the University of California, San Diego.
"About this title" may belong to another edition of this title.
- PublisherPrinceton University Press
- Publication date1994
- ISBN 10 0691042896
- ISBN 13 9780691042893
- BindingHardcover
- LanguageEnglish
- Edition number1
- Number of pages820
- Rating
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Time Series Analysis
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Time Series Analysis
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TIME SERIES ANALYSIS
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Time Series Analysis
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Time Series Analysis
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Time series analysis
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Condition: Used - Very Good. 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. Seller Inventory # IT-Y3DP-3YHD
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Time Series Analysis
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Time Series Analysis
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Time Series Analysis
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ISBN 13: 9780691042893
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