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TIME SERIES ANALYSIS James D. Hamilton Princeton University Press, 1994

This is an excellent textbook. Hamilton has put together a comprehensive treatment of time series econometrics suitable for the 1990s. His intended audience is primarily graduate students, but it is likely that seasoned economists will find the book useful to refresh their knowledge or bring them up to speed with current methods. Hamilton's book fills an important void. There are not many good sources of time series analysis written for economists. The only real textbook in this category is The Econometric Analysis of Time Series, by Andrew Harvey (1991). Harvey's book only scratches the surface of the subject, however, and does not cover many current issues, with no significant discussion of unit root testing and no mention of cointegration or generalized method of moments (GMM). Hamilton's text is more ambitious, covering a wide range of subject matter. It is true that there are many excellent books written on time series by statisticians, such as those by Brillinger (1981), Brockwell and Davis (1987), Hannan (1970), and Priestley (1981), but these authors do not focus on issues or techniques relevant to economists. It is difficult to organize a graduate economics course around one of these books, although they make excellent background material. Hamilton's book, on the other hand, could be used to organize a course for second-year Ph.D. students, perhaps supplemented by additional reading. Time Series Analysis does a good job of bridging theory and technique. It is written in the same style as most first-year econometrics textbooks. A model is stated, the maximum likelihood estimator found, its asymptotic distribution derived, and relevant regularity conditions analyzed. It is not a