Time Series Analysis James D. Hamilton is an English-language textbook about time series and econometric methods. This reference work is suitable for students and professionals who want to delve into advanced techniques for analyzing economic and financial time series.
The book describes recent developments in the way researchers apply series analysis, such as vector autoregressions, generalized method of moments, unit roots, time-varying variances, and non-linear models. It also covers the fundamental tools for dynamic systems analysis, such as autocovariance, spectral analysis, and the Kalman filter. Hamilton connects economic theory with the practical challenges of interpreting real data.
Time Series Analysis offers a clear and in-depth approach to the analysis of time series, aimed at graduate students and researchers. The book begins with the basic concepts and serves both as a textbook and a reference for integrating theory and modern methods in econometrics.
This reference work aligns in content with fields such as econometrics, economic statistics, and business & economics.