000			01833nam a2200229Ia 4500
003			OSt
005			20221111232854.0
008			100324s9999 xx 000 0 und d
020			_a9780691042893 _c(hbk.)
040			_cKrea
082			_a519.55 HAM
100			_aHamilton, James Douglas
245			_aTime series analysis / _cJames Douglas Hamilton
260			_c1994 _bPrinceton University _aNew Jersey
300			_axiv+799 p. _c25cm.
500			_aSegment Inv # 13-12-04
520			_aThe 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
650			_aMathematics
650			_aTime series
942			_cBK _2ddc
999			_c88217 _d88217