Hamilton, James Douglas. <br/><br/>
Time series analysis / 
James Douglas Hamilton. 
 - 1st ed. 
 - [S.l.] :  Princeton University Press,  1994. 
 - 820 p. ;  26 cm. 
<br/><br/> Hardcover. 
<br/><br/> 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. 
<br/><br/><label>ISBN: </label>0691042896 9780691042893 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Business/Economics.<br/>Economics: Professional & General.<br/>Econometrics.<br/>Time Series Analysis.<br/>Investment & securities.<br/>Probability & statistics.<br/>Mathematics.<br/>Business & Economics.<br/>Time-series analysis.<br/>Business & Economics / Investments & Securities.<br/>Investments & Securities - General.<br/>Mathematics / Probability & Statistics / General.<br/>Probability & Statistics - General.
<br/><br/><label>Dewey Class. No.: </label>519.55