The last decade has brought dramatic changes in the way that researchers analyze economic & financial time series This book synthesizes these recent advances & 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 & statistical consequences of unit roots time-varying variances & nonlinear time series models In addition he presents basic tools for analyzing dynamic systems (including linear representations autocovariance generating functions spectral analysis & the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing & interpreting real-world data Time Series Analysis fills an important need for a textbook that integrates economic theory econometrics & new results The book is intended to provide students & researchers with a self-contained survey of time series analysis It starts from first principles & should be readily accessible to any beginning graduate student while it is also intended to serve as a reference book for researchers