Time Series Analysis

Front Cover
Princeton University Press, 1994 - Business & Economics - 799 pages
12 Reviews
The last decade has brought dramatic changes in the way that researchers analyze time series data. This much-needed book synthesizes all of the major recent advances and develops a single, coherent presentation of the current state of the art of this increasingly important field. James Hamilton provides for the first time a thorough and detailed textbook account of important innovations such as vector autoregressions, estimation by generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, Hamilton presents traditional tools for analyzing dynamic systems, including linear representations, autocovariance, generating functions, spectral analysis, and the Kalman filter, illustrating their usefulness both for economic theory and for studying and interpreting real-world data. This book is intended to provide students, researchers, and forecasters with a definitive, self-contained survey of dynamic systems, econometrics, and time series analysis. Starting from first principles, Hamilton's lucid presentation makes both old and new developments accessible to first-year graduate students and nonspecialists. Moreover, the work's thoroughness and depth of coverage will make Time Series Analysis an invaluable reference for researchers at the frontiers of the field. Hamilton achieves these dual objectives by including numerous examples that illustrate exactly how the theoretical results are used and applied in practice, while relegating many details to mathematical appendixes at the end of chapters. As an intellectual roadmap of the field for students and researchers alike, this volume promises to bethe authoritative guide for years to come.

What people are saying - Write a review

User ratings

5 stars
4 stars
3 stars
2 stars
1 star

Review: Time Series Analysis

User Review  - Amir - Goodreads

A good combination of mathematical theorems and econometric methods and interpretations. Read full review

Review: Time Series Analysis

User Review  - Joe Malicki - Goodreads

From simple ARIMA, spectral analysis for seasonality, cointegration, vector autoregression, Kalman filters, etc., this is the first stop to understand how to do time series analysis. Assumes familiarity with linear algebra and math stats. Read full review

Related books

Other editions - View all

References to this book

All Book Search results »

References from web pages

Time Series Analysis: Statnotes, from North Carolina State ...
Disentangling these three types of effects for one set of time-series data is a major challenge of time series analysis, discussed below. ...
www2.chass.ncsu.edu/ garson/ pa765/ time.htm

Time Series Analysis
Time series analysis is a branch of the field of econometrics. Time series analysis proceeds from the premise that much can be deduced about a particular ...
www.referenceforbusiness.com/ encyclopedia/ Thir-Val/ Time-Series-Analysis.html

Political Science 8125: Dynamic Analysis (Time Series Modeling in ...
topics in time series analysis including "reduced form" methods (granger causality and ... Time Series Analysis: A Comprehensive Guide for Social Scientists ...
polmeth.wustl.edu/ retrieve.php?id=44& archive=1

Time series analysis of births of children with orofacial clefts
Box GEP, Jenkins GM, Reinsel CG: Time series analysis, ... Hamilton JD: Time series analysis. Princeton: Princeton University. Press, 1994; 43–72 ...
linkinghub.elsevier.com/ retrieve/ pii/ S1010518200901501

Forecasting macroeconomic time series
Topics in Time Series Analysis. Massimiliano Marcellino. EUI and Bocconi University. This course reviews some recent developments in the analysis of time ...
www.iue.it/ ECO/ PostgraduateProgramme/ SecondTermCourses/ outlines_2nd_3rdTerms/ Marcellino_08.pdf

TIME SERIES ANALYSIS. Terence. C. Mills. University of ... in time series analysis, and thus deals with regressions in. which the errors are non-Gaussian, ...
www.blackwell-synergy.com/ doi/ abs/ 10.1111/ j.1467-6419.1995.tb00120.x

Econometrics II - Time Series Analysis
(2000), which covers the classical approach to time series analysis, ... Hamilton, James D. (1994): “Time Series Analysis,” Princeton University Press. ...
www.econ.upenn.edu/ ~schorf/ teaching/ outlines/ econ706s.pdf

Time Series Analysis, Autumn 1997
From here we proceed to a look at important topics in time series analysis including simulation method, pooling cross-sectional and time series data, ...
psweb.sbs.ohio-state.edu/ faculty/ jbox/ Courses/ ps786ts/ ps786tssyllabus.html

JSTOR: Time Series Analysis.
JORG BREITUNG Institut fur Statistik und Okonoetrie Humboldt University, Berlin In recent years, time series analysis has been a very active research area. ...
links.jstor.org/ sici?sici=0094-3061(199503)24%3A2%3C271%3ATSA%3E2.0.CO%3B2-D

1 14.384. Time Series Analysis Fall, 2007 Anna Mikusheva Meeting ...
developments in Time Series Analysis and will present some open questions ... Hamilton, James D., Time Series Analysis, Princeton University Press, 1994, ...
econ-www.mit.edu/ files/ 1609

Bibliographic information