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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
时间序列
数据分析
统计学
预测模型
数学建模
机器学习
数据科学
时间序列预测
回归分析
频域分析

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具体描述

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.

作者简介

时间序列分析

社科

目录信息

读后感

评分☆☆☆☆☆

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...

评分☆☆☆☆☆

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...

评分☆☆☆☆☆

我个人认为这本书是一本manual，可以说是在ts这块最好的manual。什么是manual？借用 Prof. Diebold的话来说，manual就是不懂哪里看哪里！所以，请不要将这书当作教材。

评分☆☆☆☆☆

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！！...

评分☆☆☆☆☆

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...