Time Series Analysis

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时间序列分析

社科

出版者:Princeton University Press
作者:James Douglas Hamilton
出品人:
页数:820
译者:
出版时间:1994-1-31
价格:USD 130.00
装帧:Hardcover
isbn号码:9780691042893
丛书系列:
图书标签:
  • 时间序列 
  • econometrics 
  • 经济学 
  • 数学 
  • 计量经济学 
  • TimeSeries 
  • time-series 
  • 统计学 
  •  
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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.

具体描述

读后感

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I’ve been reading Time Series Analysis (‘Hamilton’) for 6 months. Today I officially finished reading the book. Last year, I finished Microeconomic Theory (’MWG’) and Time Series Analysis, both of which have greatly transformed my understanding regardi...  

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在计量经济学界里,这本无疑是一本优秀的入门教材(时间序列方面)。 说下它的不足吧: 第六章多余,既不承上,也不启下,平稳时序的谱分析及谱表达,书中虽有部分涉及,可读完后根本知道有何用。 第十二章多余,时序分析的Bayesian视角已经可以写一本书了。 第十三章不足,Kal...  

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不是搞计量的,随便写两句吧。大砖头适合锻炼。本科生时老师总喜欢吓唬我们这本书有多么多么高深,“全是数学”,自己读了研究生才知道内容一点不难。这本书已经快20岁了,早已不是前沿。如果纯为应用的话,学一遍,知道大概是怎么回事就行了,所有的估计量都可以在计量软件里...  

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I’ve been reading Time Series Analysis (‘Hamilton’) for 6 months. Today I officially finished reading the book. Last year, I finished Microeconomic Theory (’MWG’) and Time Series Analysis, both of which have greatly transformed my understanding regardi...  

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这么经典的书,我这么晚才读到,遗憾遗憾!!!!!!!!!!! 等我读完再写个详细的书评吧!!!!!!!!!!!!!!!!!! 大牛的经典之作,必须看,值得看!!!!!!!!!!!!!!!!! 好书,不错,值得一看!!!!!!!!!!! 唉,可以买不起!!...

用户评价

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没想到这个领域或者说这本书的侧重点居然是金融方向的工具... 不过感觉就是在lag operation基础上做各种regression... 加上一些error estimate的思路... 另外Appendix A的Mathematical Review部分倒是可以当个速查手册或者快速复习的内容.,包含了常见的工具介绍...

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有些旧的大砖头

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经典版本啊!

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非常不错!要是能早点读到就好了

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翻过几章,快二十年的书,若做一般的时间序列,现在看来仍不过时

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