Contents

Preface xiii

1. Difference Equations 1
2. Lag Operators 25
3. Stationary ARMA Processes 43
4. Forecasting 72
5. Maximum Likelihood Estimation 117
6. Spectral Analysis 152
7. Asymptotic Distribution Theory 180
8. Linear Regression Models 200
9.Linear Systems of Simultaneous Equations 233
10. Co variance-Stationary Vector Processes 257
11. Vector Auto regressions 291
12. Bayesian Analysis 351
13. The Kalman Filter 372
14. Generalized Method of Moments 409
15. Models of Non stationary Time Series 435
16.Process with Deterministic Time Trends 454
17. Uni variate Process with Unit Roots 475
18. Units Roots in Multivariate Series 544
19. Co integration 571
20. Full-Information Maximum Likelihood Analysis... 630
21. Time Series Models of Heteroskedasticity 657
22. Modeling Time Series with Changes 704

a Mathematical Review
b Statistical Tables
c Answers to Selected Exercises
d Greek Letters and Mathematical Symbols