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.
Produkteigenschaften
- Artikelnummer: 9780691042893
- Medium: Buch
- ISBN: 978-0-691-04289-3
- Verlag: Princeton Univers. Press
- Erscheinungstermin: 31.01.1994
- Sprache(n): Englisch
- Auflage: Erscheinungsjahr 1994
- Produktform: Gebunden
- Gewicht: 1756 g
- Seiten: 820
- Format (B x H x T): 181 x 258 x 61 mm
- Ausgabetyp: Kein, Unbekannt