TIME SERIES ANALYSIS (H/C)

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