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