Google full text of our books:


Time Series Analysis
James D. Hamilton

One of Princeton University Press's Notable Centenary Titles.

Hardcover | 1994 | $125.00 | ($75.00) / £58.00 | (£34.80) | ISBN: 9780691042893
816 pp. | 6 x 9
Add to Shopping Cart

graduation-capTextbooks & e-Inspections for Professors

Reviews | Table of Contents

Google full text of this book:

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.


"A carefully prepared and well written book. . . . Without doubt, it can be recommended as a very valuable encyclopedia and textbook for a reader who is looking for a mainly theoretical textbook which combines traditional time series analysis with a review of recent research areas."--Journal of Economics


"I am extremely enthusiastic about this book. I think it will quickly become a classic. Like Sargent's and Varian's texts, it will be a centerpiece of the core cirriculum for graduate students."--John H. Cochrane, University of Chicago

Table of Contents

This book has been translated into:

  • Japanese

Subject Areas:

Hardcover: Not for sale in South Asia

For hardcover/paperback orders in United States, Canada, Latin America, Asia, and Australia

 Hardcover $125.00 | ($75.00) ISBN: 9780691042893

Add to shopping cart
View contents of your shopping cart

For hardcover/paperback orders in Europe, Africa, the Middle East, India, and Pakistan

 Hardcover £58.00 | (£34.80) ISBN: 9780691042893

Add to shopping cart
View contents of your shopping cart


Textbooks: Need textbooks? View our textbook site.

Teaching Professors: To request an electronic inspection copy for course use consideration,
please click on: magnifyingProfessors free on-line inspection access (All requests will be validated before access is granted).

Online exam copies are also available through this e-vendor:

  • CourseSmart®

  • Prices subject to change without notice

    File created: 11/20/2015

    Questions and comments to:
    Princeton University Press

    fall saleHoliday Sale
    New Book E-mails
    New In Print
    PUP Blog
    Princeton APPS
    Sample Chapters
    Princeton Legacy Library
    Exam/Desk Copy
    Recent Awards
    Princeton Shorts
    Freshman Reading
    PUP Europe
    About Us
    Contact Us
    PUP Home

    Bookmark and Share
    Send me emails
    about new books in:
    More Choices