| Preface | |
| 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 | Covariance-Stationary Vector Processes | 257 |
| 11 | Vector Autoregressions | 291 |
| 12 | Bayesian Analysis | 351 |
| 13 | The Kalman Filter | 372 |
| 14 | Generalized Method of Moments | 409 |
| 15 | Models of Nonstationary Time Series | 435 |
| 16 | Processes with Deterministic Time Trends | 454 |
| 17 | Univariate Processes with Unit Roots | 475 |
| 18 | Unit Roots in Multivariate Time Series | 544 |
| 19 | Cointegration | 571 |
| 20 | Full-Information Maximum Likelihood Analysis of Cointegrated Systems | 630 |
| 21 | Time Series Models of Heteroskedasticity | 657 |
| 22 | Modeling Time Series with Changes in Regime | 677 |
| A Mathematical Review | 704 |
| B Statistical Tables | 751 |
| C Answers to Selected Exercises | 769 |
| D Greek Letters and Mathematical Symbols Used in the Text | 786 |
| Author Index | 789 |
| Subject Index | 792 |
