Time Series Analysis

著者 :
  • Princeton Univ Pr
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本棚登録 : 34
レビュー : 5
  • Amazon.co.jp ・本 (799ページ)
  • / ISBN・EAN: 8601300372280


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 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.


  • This book is not only about time series, but also covers the major areas of econometrics, which is much more superior than any other book of econometrics that I have read. The MLE, general least squares, VAR, Bayesian Analysis, General Method of Moments, Cointegration, ARCH, GARCH, IGARCH and many other general topics are covered in this advanced econometrics book. (TB)

  • スイッチングの部分を読む。あんまり、今も進化しておりません。

  • コア計量を救ってくれた一冊その2。
    ぱっと見たときには無味乾燥かつ図もないので読みにくいだろうと感じずにはいられなかったが、実際に最初から読んでみると実に分かりやすく、Time Seriesの苦手意識を吹っ飛ばしてくれる。面白くて1日で半分弱を読んでしまった。分量に騙されてはいけない。



  • 確かに丁寧に説明をしているのだが, 重たすぎる.

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