A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoreti

In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, struct

A companion volume to The Econometric Analysis of Time series, this book focuses on the estimation, testing and specification of dynamic models which are not ba

This book provides a synthesis of concepts and materials that ordinarily appear separately in time series and econometrics literature, presenting a comprehensiv

This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time s