TY  - BOOK
AU  - Hamilton, James Douglas
TI  - Time series analysis
SN  - 9780691042893
U1  - 519.55 HAM 
PY  - 1994///
CY  - New Jersey
PB  - Princeton University
KW  - Mathematics
KW  - Time series
N1  - Segment
Inv # 13-12-04
N2  - 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
ER  -