Rating: 
Summary: Not mathematically rigorous enough
Review: What's funny is that everyone here is saying that it's too mathematical, and not friendly with people without a mathematical background. In my opinion, people without a mathematical background should better stay away from time series.I actually think that Hamilton provides mathematical derivations where these are not too complicated and avoids them where it gets pretty tough. Case in point is the chapter on multivariate time series analysis, where estimation and forecasting of VMA and VARMA models is completely ignored. Actually, VARMA models are not even mentioned in the book. Hamilton only tackles VAR models, which are pretty easy to estimate due to their regression properties. Otherwise, I think Hamilton tackles a wide range of topics. However, as an alternative I prefer Brockwell&Davis (the yellow book). It does not cover such a wide range of topics but in the end, it covers what it covers extremely rigorously, without leaving any questions unanswered and without shying away from tough mathematics.
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