TY  - BOOK
AU  - Hamilton, James D.
TI  - Time series analysis
SN  - 9789380663432 (pbk.)
U1  - 519.55 
PY  - 2012///
CY  - Kolkata
PB  - Levant Books
KW  - Time-series analysis
N1  - https://press.princeton.edu/books/hardcover/9780691042893/time-series-analysis
N2  - 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
ER  -