Time Series Analysis

by James D. Hamilton

Princeton University Press, 1994

List Price $105.00, Estima's Price $80.00

It's not an accident that Hamilton's book is referenced extensively in the RATS manual, and in many journal articles published since its release in 1994. This is a detailed, in-depth treatment of modern time series analysis and econometrics that can serve both as a textbook for the student and an advanced reference for practicing researchers. Just under 800 pages, hardbound.

RATS examples from Time Series Analysis

Contents

1. Difference Equations
2. Lag Operators
3. Stationary ARMA Processes
4. Forecasting
5. Maximum Likelihood Estimation
6. Spectral Analysis
7. Asymptotic Distribution Theory
8. Linear Regression Models
9. Linear Systems of Simultaneous Equations
10. Covariance-Stationary Vector Processes
11. Vector Autoregressions
12. Bayesian Analysis
13. The Kalman Filter
14. Generalized Method of Moments
15. Models of Nonstationary Time Series
16. Processes with Deterministic Time Trends
17. Univariate Processes with Unit Roots
18. Unit Roots in Multivariate Time Series
19. Cointegration
20. Full-Information Maximum Likelihood Analysis of Cointegrated Systems
21. Time Series Models of Heteroskedasticity
22. Modeling Time Series with Changes in Regime