Time Series Analysis

by James D. Hamilton
Princeton University Press, 1994

List Price $105.00, Estima's Price $80.00

It's not an accident that Hamilton's book is referenced extensively in the RATS manual, and in many journal articles published since its release in 1994. This is a detailed, in-depth treatment of modern time series analysis and econometrics that can serve both as a textbook for the student and an advanced reference for practicing researchers. Just under 800 pages, hardbound.

RATS examples from Time Series Analysis


  1. Difference Equations
  2. Lag Operators
  3. Stationary ARMA Processes
  4. Forecasting
  5. Maximum Likelihood Estimation
  6. Spectral Analysis
  7. Asymptotic Distribution Theory
  8. Linear Regression Models
  9. Linear Systems of Simultaneous Equations
  10. Covariance-Stationary Vector Processes
  11. Vector Autoregressions
  12. Bayesian Analysis
  13. The Kalman Filter
  14. Generalized Method of Moments
  15. Models of Nonstationary Time Series
  16. Processes with Deterministic Time Trends
  17. Univariate Processes with Unit Roots
  18. Unit Roots in Multivariate Time Series
  19. Cointegration
  20. Full-Information Maximum Likelihood Analysis of Cointegrated Systems
  21. Time Series Models of Heteroskedasticity
  22. Modeling Time Series with Changes in Regime