Time Series Analysis - Rilegato

Hamilton, James D.

Rilegato

ISBN 10: 0691042896 ISBN 13: 9780691042893

Casa editrice: Princeton Univ Pr, 1994

Riassunto

An authoritative, self-contained overview of time series analysis for students and researchers

The past decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This textbook synthesizes these advances and makes them accessible to first-year graduate students. James Hamilton provides comprehensive 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.

This invaluable book 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.

Su questo libro

Informazioni sull?autore

James D. Hamilton is Professor of Economics at the University of California, San Diego.

Dalla quarta di copertina

"I am extremely enthusiastic about this book. I think it will quickly become a classic. Like Sargent's and Varian's texts, it will be a centerpiece of the core cirriculum for graduate students."--John H. Cochrane, University of Chicago

Dal risvolto di copertina interno

"I am extremely enthusiastic about this book. I think it will quickly become a classic. Like Sargent's and Varian's texts, it will be a centerpiece of the core cirriculum for graduate students."--John H. Cochrane, University of Chicago

Dettagli dell?edizione

• Editore: Princeton Univ Pr
• Data di pubblicazione: 1994
• Lingua: Inglese
• ISBN 10: 0691042896
• ISBN 13: 9780691042893
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 799
• Contatto del produttore: non disponibile