Time Series Models

by Harvey, Andrew C.

• ISBN13: 9780262082242
• ISBN10: 0262082241
• Edition: 2nd
• Format: Hardcover
• Copyright: 1993-07-01
• Publisher: Mit Pr

Summary

Time Series Models is a companion volume to Andrew Harvey's highly successful Econometric Analysis of Time Series. It takes students to another level from the first book, focusing on the estimation, testing, and specification of both univariate and multivariate time series models. The emphasis is on understanding how time series are analyzed and models constructed. Familiarity with calculus, linear algebra, and statistical interference is assumed. Although Time Series Models pairs well with Harvey's earlier text, it is self-contained. For the second edition, the author has added new sections on nonlinear models, unit roots, structural time series models, intervention analysis, and cointegration. He has addressed new developments, rearranged some material, and changed the emphasis in certain areas. Andrew C. Harvey is Professor of Econometrics in the Department of Statistics and Mathematical Sciences at the London School of Economics and Political Science.

Table of Contents

List of Figures
Preface to the Second Edition
From the Preface to the First Edition
Note
Abbreviations
Introduction	p. 1
Stationary Stochastic Processes and their Properties in the Time Domain	p. 9
Estimation and Testing of Autoregressive-Moving Average Models	p. 48
State Space Models and the Kalman Filter	p. 82
Time Series Models	p. 106
The Frequency Domain	p. 166
Multivariate Time Series	p. 233
Non-Linear Models	p. 265
Answers to Selected Exercises	p. 293
References	p. 295
Subject Index	p. 303
Author Index	p. 307
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