Time Series Analysis

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.

btw, the author seems like a nice guy, too. one time, i had a question about his treatment of the kalman filter, and he actually responded to my email.


The most careful ecmtx textbook I know   September 14, 2004
C. Hanck (Germany)
9 out of 10 found this review helpful

As you may guess from the title, I loved Hamilton's book. I must definitely disagree with all those who find it too technical. Rather on the contrary, I would say. Admittedly, entire pages with greek letters look intimidating at first glance. But what Hamilton actually does is making a huge effort (unlike most of his competitors) to actually explain the details of the derivations, thereby helping the reader a lot. You'll learn to appreciate this a lot by the time you start developing sth. on your own rather than simply applying existing techniques.

By now, I've been through most of the chapters and I'm yet to find a typo, let alone a major mistake. Whenever I wanted to learn sth. about Time Series Analysis, Hamilton provided a good starting point, if not more.

I am waiting for the second edition!


Quite some beach read   June 1, 2004
flyingracoonie (Duke University)
12 out of 15 found this review helpful

I got this book at the beginning of the summer and have been reading it everyday by the pool. This is not to say that you can read it mindlessly - you definitely can not - it is simply so interesting that every time I try to decide what to bring to the pool I would magically turn down Cosmo and Vogue and drag Hamilton along instead. As a rising junior in econonomics and mathematics at Duke, I find this book challenging yet doable. I have previously had an undergraduate course in econometrics and this book answers a lot of the questions I was casually wondering about when I took the class. One more thing I love about this book is that it is vey self-contained. I have a solid background in matrix algebra but not nearly enough in probability (only one undergrad course); I do not so far find it a problem at all. I recommend this book to everyone who liked his/her first econometrics course, even if you are an undergrad.


The best book of econometrics   October 15, 2002
4 out of 4 found this review helpful

This is really the best book of econometrics I have ever had. It is extensive in any single topic of time series. It provides excellent statistics background and it can be easily understood through the proposed examples that keep track of an increasing level of difficulty (from very easy to tough). I highly reccomend it to any graduate student in econ and to those undergraduate that want to move their first steps into this field.


Excellent book in the right hands   October 10, 2003
Daniel J. Ryan (Woodinville, WA United States)
2 out of 2 found this review helpful

If you're coming to time series without a fairly strong background, this is not the book. Others are much more comprehensible as introductory texts, even I think at the graduate level. If you are working in time series and need a great reference book, it's indispensable. Nobody else comes close in comprehensiveness.