Time Series Analysis PDF
by James D. Hamilton
Description
An authoritative, self-contained overview of time series analysis for students and researchers
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 systemsincluding linear representations, autocovariance generating functions, spectral analysis, and the Kalman filterin 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.
This invaluable book 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.
Information
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Download - Immediately Available
- Format:PDF
- Pages:816 pages
- Publisher:Princeton University Press
- Publication Date:01/09/2020
- Category:
- ISBN:9780691218632
Other Formats
- Hardback from £57.49
Information
-
Download - Immediately Available
- Format:PDF
- Pages:816 pages
- Publisher:Princeton University Press
- Publication Date:01/09/2020
- Category:
- ISBN:9780691218632
