Time Series Analysis

Author: James Douglas Hamilton
Edition: 1
Publisher: Princeton University Press
Binding: Hardcover
ISBN: 0691042896
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Time Series Analysis

The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series.Time Series Analysis review. 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 resultsRead full reviews of Nonlinear Time Series Analysis.

Read Time Series Analysis by State Space Methods (Oxford Statistical Science Series) reviews by

Review ... provides an up-to-date exposition and comprehensive treatment of state space models in time series analysis. Journal of the Royal Statistical SocietyThis book will be helpful to graduate students and applied statisticians working in the area of econometric modelling as well as researchers in the areas of engineering, medicine and biology where state space models are used. Journal of the Royal Statistical Society... a good mixture of theory and practical applications ... graduate and research students will definitely enjoy this book. Also practitioners will find the book quite useful

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The time variability of many natural and social phenomena is not well described by standard methods of data analysis. However, nonlinear time series analysis uses chaos theory and nonlinear dynamics to understand seemingly unpredictable behavior. The results are applied to real data from physics, biology, medicine, and engineering in this volume. Researchers from all experimental disciplines, including physics, the life sciences, and the economy, will find the work helpful in the analysis of rea

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An Introduction to State Space Time Series Analysis: Jacques JF Commandeur, Siem Jan Koopman

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Categories: Time-series analysis->Computer programs. Contributors: Esther A. Williams - Author. Format: Paperback

http://www.barnesandnoble.com/listing/2686018707162?sourceid=Q000000633&cm_mmc=Google%20Product%20Search-_-Q000000633-_-2686018707162

Categories: Time-series analysis. Contributors: Lois W. Sayrs - Author. Format: Paperback

http://www.barnesandnoble.com/listing/2694150030246?sourceid=Q000000633&cm_mmc=Google%20Product%20Search-_-Q000000633-_-2694150030246

Time Series Analysis Reviews

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.