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Time Series Analysis

Time Series Analysis

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This authoritative text offers a comprehensive and rigorous introduction to modern time series econometrics. Hamilton presents key innovations such as vector autoregressions (VAR), unit roots and cointegration, generalized method of moments (GMM), nonlinear time series, and structural breaks. The book also covers foundational tools like autocovariance functions, spectral analysis, the Kalman filter, and Bayesian inference—integrating economic theory with practical estimation challenges. Starting from first principles, this text is accessible to beginning graduate students while also serving as a long?term reference for researchers

Princeton University Press

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